Studying of Volatility and Risk in Portfolio-Optimization Model Using of Imperialist Competitive Algorithm

Document Type : Original Article

Authors

1 Ph.D. in Economics, Department of Economics, Faculty of Economics and Management, University of Urmia

2 Professor in Economics, Department of Economics, Faculty of Economics and Management, University of Urmia

Abstract

The dynamics of capital markets is one of the main effective parameters of economy growth of each country. Selecting of optimal collection of properties is one of the capital market theories that has the certain importance in economics. The main aim of this research is solving stock portfolio-optimization using of Imperialist Competitive Algorithm. An applied pattern is developed model of mean-variance, mean-semi variance, mean-absolute deviations and Mean - Conditional Value at Riskthat its limitation has been added. In the purpose of solving problem of optimization of investment basket, we used of 25 daily accepted stock in Tehran Stock Exchange between 2009 -2016. The results of 4 patterns portfolio of research show that in the Imperialist Competitive Algorithm (ICA), mean - Conditional Value at Risk has high accuracy optimization in compare of others.

Keywords

Journal of Econometric Modelling
Volume 3, Issue 4
December 2018
Pages 11-35

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