International Journal of Nonlinear Analysis and Applications

Evaluation and comparison of portfolio optimization with the degree of stock risk adjustment based on the performance measurement model based on the hybrid metaheuristic algorithm and gray wolf optimization algorithm

Document Type : Research Paper

Authors

1 Department of Accounting, Nour Branch, Islamic Azad University, Nour, Iran

2 Department of Accounting, Noushahr Branch, Islamic Azad University, Noushahr, Iran

3 Department of Accounting, Bandargaz Branch, Islamic Azad University, Bandargaz, Iran

4 Department of Mathematics and Statistics, Nour Branch, Islamic Azad University, Nour, Iran

Abstract

The investment portfolio optimization process including allocation of assets allocated capital percentage to each asset, risk management, and creating a new portfolio with a certain level of risk and return based on investors' expectations has always been an attractive and controversial issue in the field of financial decision making. The objective of this research is to evaluate and compare portfolio optimization with the degree of stock risk adjustment based on the performance measurement model based on the hybrid metaheuristic algorithm and gray wolf optimization algorithm. The statistical population of this research is the research statistical population which is all the listed companies in Tehran Stock Exchange for 7 years from 2014 to 2020. Based on the limitations imposed on the statistical population, the active companies in Tehran Stock Exchange have been investigated as the research sample. The obtained results from the tests show that a hybrid metaheuristic algorithm improves the adjusted risk.

Keywords

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International Journal of Nonlinear Analysis and Applications
Volume 15, Issue 6
June 2024
Pages 63-70
  • Receive Date: 17 November 2022
  • Revise Date: 21 February 2023
  • Accept Date: 27 February 2023