چکیده:
Choosing the optimal stock portfolio is one of the main goals of capital management. There are several criteria for choosing the optimal portfolio. In this paper, using data of 10 stocks which randomly selected from the Tehran Stock Exchange including Vanovin, Vakharazm, Seghrab, Shepna, Vapetro, Dana, Khasapa, Shekarbon, Shadous and Khahen, first the returns of these stocks are calculated and their portfolio risk is calculated using the models of absolute deviation risk and risk value, and these two criteria are compared by the classical solution method. The portfolio optimization output with each of these risks represents a different weight per share. In the optimization with the risk criterion of absolute deviation, the Dana has the highest weight and in the optimization with the value at risk criterion, the stocks of Segharb, Shepna and Shekarbon have the most weight. In the following, the deviation-absolute risk model and value at risk model of metaheuristic method are compared. The results show that the NSGA2 model of metaheuristic method compared to the classical method in solving portfolio optimization problem showed more risk in both MAD and CVaR criteria and therefore it is a better method to solve such portfolio optimization problems.
خلاصه ماشینی:
Then, using Mean Absolute Deviation (MAD) and Conditional Value at Risk (CVaR) models, the optimal investment portfolio risk is calculated, and these two criteria are compared with the classic solution method.
Finally, by reviewing and comparing the provided tables, it is observed that in optimization using the non-linear Mean Absolute Deviation method, with an increase in the portfolio return, its risk also increases.
In the following, a table is presented in which a specific percentage of return, namely at returns of one percent, 4 percent, and 6 percent, the investment risk with two methods, Mean Absolute Deviation and Conditional Value at Risk, along with the classic method, are stated simultaneously, and the ideal weight of stocks in the desired portfolio is indicated.
Table 4- Comparison of optimal portfolios with MAD and CVaR criteria using the classic method (Refer to page image) (Refer to page image) As can be observed, in this table, by comparing the risk and stock weights at these specific returns with the two criteria of interest, when the lowest return, i.
e. , at returns of one percent, 4 percent, and 6 percent, the investment risk with the two methods of Mean Absolute Deviation and Conditional Value at Risk using the metaheuristic method is stated simultaneously, and the ideal weight of stocks in the target portfolio is provided.
By comparing them, it was concluded that in the Mean Absolute Deviation method with classic algorithms, when the CVaR criterion was used for stock portfolio optimization, it was observed 530 that with the application of higher risk, stock returns also increased.
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