Optimization of stock portfolio based on ant Colony & grey theory
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2014, Vol 8, Issue 7
Abstract
The objective of the portfolio management is portfolio selection, portfolio investors guide to achieve maximum efficiency.In this study, in order to select the optimal portfolio ant algorithm and Grey theory has been used and a comparison between them has been.Introducing a model for the assessment of portfolio choice for investors who are able to apply that model to select the right portfolio portfolio, our goals in this research.To this end, a review of the literature and research done and a set of indicators and criteria according to the purpose of the survey was to gather. Among the listed companies in Tehran Stock Exchange with more than 105 companies with the highest profit return on assets during the year were as sample 2005-2011 entered statistical analysis of the data. the analysis relationship grey firm prioritized and selected the model (grey& ant) Markowitz model using statistical tests were compared. Below, in order to select the optimal portfolio of ant colony algorithm, a model was derived that was very functional and minimal risk and maximum efficiency are characteristics. The findings suggest that it is associated with a comparable model of grey model and ant compared to the Markowitz model has less error in selecting the optimal investment portfolio. The most important recommendation for future research to compare with other models of ant algorithm and grey.
Authors and Affiliations
Dr. Ali Najafi Moghadam| Professor and Faculty member of Islamic Azad University Roudehen ,Iran, Dr. fraydoon Rahnama roodposhti| Professor and Faculty member of Islamic Azad University Science and Research Branch of Tehran , Iran., Mahvash Farrokhi| Master of Bussines Administration on Financial Management , Faculty of Management, Buien Zahra Branch, Islamic Azad University, Iran. email: mfarokhi30@gmail.com
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