Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange
Asset return is associated with uncertainty and always occurs during unexpected fluctuations in economic, social and political conditions, and so forth. In return on assets such as stocks. Fuzzy logic can be one of the best options for modelling asset returns. For this purpose, a rule based fuzzy ex...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
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Securities Exchange
2021-02-01
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| Series: | فصلنامه بورس اوراق بهادار |
| Subjects: | |
| Online Access: | https://journal.seo.ir/article_11196_a819f985fed9b5d61f3ab2cc8d17b990.pdf |
| _version_ | 1818207016552759296 |
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| author | Seyyed Mojtaba Mirlohi Reza Tehrani ezatolah abbasian Ali Jaberizadeh |
| author_facet | Seyyed Mojtaba Mirlohi Reza Tehrani ezatolah abbasian Ali Jaberizadeh |
| author_sort | Seyyed Mojtaba Mirlohi |
| collection | DOAJ |
| description | Asset return is associated with uncertainty and always occurs during unexpected fluctuations in economic, social and political conditions, and so forth. In return on assets such as stocks. Fuzzy logic can be one of the best options for modelling asset returns. For this purpose, a rule based fuzzy expert system has been developed to support investment managers in their mid term investment decisions. Considering the non linearity of the portfolio selection problem and its NP Hard, the performance of the proposed fuzzy system is evaluated by the information of 157 companies that have been active in Tehran Stock Exchange between 2008 to 2018 using of Fuzzy Genetic and Fuzzy Hunting Search Algorithms. The system's performance in terms of risk taking and duration of investment was comparable to average market returns. Besides, the performance of the proposed fuzzy system for the risk averse investor in the short run yields good results. |
| first_indexed | 2024-12-12T04:22:13Z |
| format | Article |
| id | doaj.art-29cc77a3b7284154a09c8ae7517faeeb |
| institution | Directory Open Access Journal |
| issn | 2228-5431 2820-9893 |
| language | fas |
| last_indexed | 2024-12-12T04:22:13Z |
| publishDate | 2021-02-01 |
| publisher | Securities Exchange |
| record_format | Article |
| series | فصلنامه بورس اوراق بهادار |
| spelling | doaj.art-29cc77a3b7284154a09c8ae7517faeeb2022-12-22T00:38:17ZfasSecurities Exchangeفصلنامه بورس اوراق بهادار2228-54312820-98932021-02-011352719510.22034/jse.2020.10993.125711196Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock ExchangeSeyyed Mojtaba Mirlohi0Reza Tehrani1ezatolah abbasian2Ali Jaberizadeh3Assistant Professor at industrials and management department, Shahrood University, Shahrood, Iran.Full Professor at financial management department, Tehran University, Tehran, IranAssociate Professor at financial management department, Tehran University, Tehran, Iran.Phd student of financial management at Alborz college, Tehran university, Tehran, IranAsset return is associated with uncertainty and always occurs during unexpected fluctuations in economic, social and political conditions, and so forth. In return on assets such as stocks. Fuzzy logic can be one of the best options for modelling asset returns. For this purpose, a rule based fuzzy expert system has been developed to support investment managers in their mid term investment decisions. Considering the non linearity of the portfolio selection problem and its NP Hard, the performance of the proposed fuzzy system is evaluated by the information of 157 companies that have been active in Tehran Stock Exchange between 2008 to 2018 using of Fuzzy Genetic and Fuzzy Hunting Search Algorithms. The system's performance in terms of risk taking and duration of investment was comparable to average market returns. Besides, the performance of the proposed fuzzy system for the risk averse investor in the short run yields good results.https://journal.seo.ir/article_11196_a819f985fed9b5d61f3ab2cc8d17b990.pdfmarkowitz modelfuzzy logicgenetic algorithmhunting search algorithm |
| spellingShingle | Seyyed Mojtaba Mirlohi Reza Tehrani ezatolah abbasian Ali Jaberizadeh Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange فصلنامه بورس اوراق بهادار markowitz model fuzzy logic genetic algorithm hunting search algorithm |
| title | Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange |
| title_full | Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange |
| title_fullStr | Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange |
| title_full_unstemmed | Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange |
| title_short | Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange |
| title_sort | comparison of the performance of genetic and hunting search algorithms in portfolio optimization using mean variance model based on fuzzy logic in tehran stock exchange |
| topic | markowitz model fuzzy logic genetic algorithm hunting search algorithm |
| url | https://journal.seo.ir/article_11196_a819f985fed9b5d61f3ab2cc8d17b990.pdf |
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