|تعداد مشاهده مقاله||106,169,447|
|تعداد دریافت فایل اصل مقاله||83,077,305|
Portfolio Selection Optimization Problem Under Systemic Risks
|Advances in Industrial Engineering|
|دوره 54، شماره 2، تیر 2020، صفحه 121-140 اصل مقاله (695.65 K)|
|نوع مقاله: Research Paper|
|شناسه دیجیتال (DOI): 10.22059/jieng.2021.321882.1759|
|Mohammad Ali Dehghan Dehnavi؛ Mohammad Mahdi Bahrololoum* ؛ Moslem Peymany Foroushany؛ Sayyed Ali Raeiszadeh|
|Department of Finance and Banking, Faculty of Accounting and Management Allameh Tabataba`i University, Tehran, Iran|
|Abstract: Portfolio selection is of great importance among financiers, who seek to invest in a financial market by selecting a portfolio to minimize the risk of investment and maximize their profit. Since there is a covariant among portfolios, there are situations in which all portfolios go high or down simultaneously, known as systemic risks. In this study, we proposed three improved meta-heuristic algorithms namely, genetic, dragonfly, and imperialist competitive algorithms to study the portfolio selection problem in the presence of systemic risks. Results reveal that our Imperialist Competitive Algorithm are superior to Genetic algorithm method. After that, we implement our method on the Iran Stock Exchange market and show that considering systemic risks leads to more robust portfolio selection. . Results reveal that our Imperialist Competitive Algorithm are superior to Genetic algorithm method. After that, we implement our method on the Iran Stock Exchange market and show that considering systemic risks leads to more robust portfolio selection.|
|Portfolio Selection؛ Systemic Risks؛ Genetic Algorithm؛ Imperialist Competitive Algorithm|
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