Analysis and investigation of smart beta optimization in companies active in the Tehran Stock Exchange and comparing it with the Markowitz model portfolio.

The primary objective of the current research is to analyze and investigate the optimization of smart beta in companies active on the Tehran Stock Exchange and to compare it with the Markowitz model portfolio. The statistical population of the present research includes all active companies on the Tehran Stock Exchange. Due to the large volume of companies admitted to the Stock Exchange, the companies' asset history was investigated from ۲۰۱۴ to ۲۰۱۶. As a result of applying restrictions in the systematic elimination sampling, a statistical sample of (۱۴۸) companies (۱۵) shares was obtained. In the following, a genetic algorithm was used to optimize the portfolio and get the model weights based on the defined models. MATLAB and SPSS ۲۲ software were used to solve the algorithm. Five performance evaluation measures (Sharpe, Treynor, Jensen, Sortino, and Adverse Potential) were used to compare the selected portfolios based on the research results and previous models. Finally, the research results were compared with the Markowitz model \cite{۱۷}. It was found that smart, intelligent beta optimization decisively provides a simultaneous combination of risk and better return compared to the Markowitz model in the Iranian stock market and achieves better performance.

کلیدواژه ها:

smart beta ، optimal portfolio ، Harry Markowitz model ، Genetic algorithm ، adverse potential criterion ، Sortino criterion