SID.ir New Version

Paper Information

Journal:   INVESTMENT KNOWLEDGE   winter 2021 , Volume 9 , Number 36 ; Page(s) 435 To 450.
 
Paper: 

Stock Portfolio Optimization Using Reliability Approach

 
 
Author(s):  Emamat Mir Seyed Mohammad Mohsen*, Hanafizadeh Payam
 
* 
 
Abstract: 
The aim of this study is to optimize stock portfolios by considering uncertain returns and the investment’ s utility function in the Tehran Stock Exchange. For this purpose, a two-stage recursive algorithm and a utility function have been used. Securities are selected according to the list of 50 most active companies that was published by the Securities and Exchange Organization per season between the years 1390 to 1394. Considering the returns in this five-year period, the returns vector and covariance matrix are determined and after modeling the optimal portfolio is presented. The results show that the optimal portfolio includes: Iran Transfo (0. 15), Eghtesad Novin Bank (0. 1), Saipa (0. 15), Ghadir Investment Company (0. 15), Foolad Mobarakeh Esfahan (0. 15), Mokhaberat Iran (0. 15) and Meli Sanaye Mess Iran (0. 15). The quality of the results is compared with real returns in the following year (1395). The results show the high accuracy of the algorithm.
 
Keyword(s): Stochastic Optimization,Nonlinear Programming,Stock Portfolio Investment
 
 
International related papers: 
  • No item.
 
Most related Highly related Moderately related Least related
 
References: 
  • Not Registered.
  •  
  •  
 
Citations: 
  • Not Registered.
 
+ Click to Cite.
APA: Copy

Emamat, M., & HANAFIZADEH, P. (2021). Stock portfolio optimization using reliability approach. INVESTMENT KNOWLEDGE, 9(36 ), 435-450. https://www.sid.ir/en/journal/ViewPaper.aspx?id=815946



Vancouver: Copy

Emamat Mir Seyed Mohammad Mohsen, HANAFIZADEH PAYAM. Stock portfolio optimization using reliability approach. INVESTMENT KNOWLEDGE. 2021 [cited 2022May23];9(36 ):435-450. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=815946



IEEE: Copy

Emamat, M., HANAFIZADEH, P., 2021. Stock portfolio optimization using reliability approach. INVESTMENT KNOWLEDGE, [online] 9(36 ), pp.435-450. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=815946.



 
 
Persian Abstract Yearly Visit 119
 
 
Latest on Blog
Enter SID Blog