Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method

Mohammad Esmaeil Fadaeinejad; Mohamad Taghi Vaziri; Hossein Asadi; Mohammad Javad Faryadras

Volume 6, Issue 2 , April 2022, , Pages 70-94


  Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based ...  Read More

Forming Efficient Frontier in Stock Portfolios by Utility Function, Risk Aversion, and Target Return

Ahmad Farahani Darestani; Mohammadreza Miri Lavasani; Hamidreza Kordlouie; Ghodratallah Talebnia

Volume 6, Issue 2 , April 2022, , Pages 95-119


  Asset allocation has always been a challenging issue / for individuals and businesses to survive in our competitive world. One of the famous businesses, which has an enormous impact on people's lives worldwide, is the pension industry. Pension funds- as Defined Benefit, Defined Contribution, or others- ...  Read More

A Hybrid Artificial Intelligence Approach to Portfolio Management

Hamidreza Haddadian; Morteza Baky Haskuee; Gholamreza Zomorodian

Volume 6, Issue 1 , January 2022, , Pages 1-27


  The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment companies and hedge funds have been implementing algorithmic and automated trading on their trading. The speed of decision-making ...  Read More

Hierarchical Risk Parity as an Alternative to Conventional Methods of Portfolio Optimization: (A Study of Tehran Stock Exchange)

Marziyeh Nourahmadi; Hojjatollah Sadeqi

Volume 5, Issue 4 , November 2021, , Pages 1-24


  One of the most critical investment issues faced by different investors is choosing an optimal investment portfolio and balancing risk and return in a way that, maximizes investment returns and minimize the investment risk. So far, many methods have been introduced to form a portfolio, the most famous ...  Read More

.Modeling the selection of the optimal stock portfolio based on the combined approach of clustered value at risk and Mental Accounting

seyedeh farrokh Nikoo; Shahabeddin Shams; Reza Tehrani; Mohsen Seighali

Volume 5, Issue 2 , April 2021, , Pages 70-94


  This paper concentrates on the modelling of optimal stock portfolio selection based on Risk Assessment and Behavioral Financial Approach Mental Accounting and 28 expert’s opinion. In this approach developing the model approved by the opinion of academic and practical experts using quantitative ...  Read More

Measuring value at risk using short-term and long-term memory of GARCH models based on switching approach to form an optimal stock portfolio

Shaghayegh Mahboubi Zadeh; Hassan Ghalibaf Asl

Volume 5, Issue 1 , January 2021, , Pages 61-90


  Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products). For this purpose, the VaR of returns on index should first be extracted through parametric models ...  Read More

The Quantitative Diversity Index in Multi-Objective Portfolio Model

Seyed Babak Ebrahimi; Mostafa Abdollahi Moghadam; Nasser Safaie

Volume 5, Issue 1 , January 2021, , Pages 122-146


  The primary purpose of investors is maximizing the utility that is characterized by two essential criteria include risk and return. Regarding investors' uncertainty about the future, one of the main ways to reduce risk is to diversify the investment portfolio. In this research, we proposed an index conducted ...  Read More

Portfolio optimization with robust possibilistic programming

Maghsoud Amiri; Mohammad Saeed Heidary

Volume 3, Issue 2 , 2019, , Pages 44-65


  one of the most important financial and investment issues is Portfolio selection, that seeks to allocate a predetermined capital (wealth) over one or multiple periods between assets and stocks in such a way that the wealth of investor (portfolio owner) is maximized and, Simultaneously, its risk minimized. ...  Read More