Comparison of the Accuracy of Black Hole Algorithms and Gravitational Research and the Hybrid Method in Portfolio Optimization

Publish Year: 1398
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:

JR_IJFMA-4-14_009

تاریخ نمایه سازی: 13 آذر 1400

Abstract:

The main purpose of this research is portfolio optimization in Tehran securities exchange using the black hole algorithm and the Gravitational Research algorithm. We also propose an algorithm named Hybrid Algorithm which combines the two algorithms above to cover the weaknesses of these two algorithms. Finally we compare the results with the Markowitz model and choose the optimal algorithm. In order to analyze the data that is the same information extracted from the TSE Client software and RahAvard Novin Software, MATLAB software version of ۲۰۱۶and GAMS and SPSS have been used. This research is fulfilled in the period from ۲۰۱۱ to ۲۰۱۶. The method used in this study is based on the purpose of the applied research and based on the way of data collection as a descriptive research and correlation type, which is noticed with the retrospective and post-event approach and through the analysis of the observed information, attempts to optimize the portfolio using a black hole algorithm. In all the years of research, the hybrid method introduced in this research has obtained the nearest solution to the exact solution, which is the same Markowitz. In order to optimize the portfolio, black hole meta-heuristic algorithms, Gravitational Research and hybrid algorithm (hybrid) can be used instead of the Markowitz algorithm with higher accuracy and speed. The results of the present case study and other studies show that black hole algorithms, Gravitational Research, and hybrid algorithms are very quick in solving portfolio optimization problems

Authors

Kaveh Mehrani

Associate Prof. of Accounting, Accounting and management Department, University of Tehran, Aras International Campus, Tehran, Iran.Tehran, Iran.

Amirmehdi Mirshahvalad

Ph.D. Student in Finance, Finance and management Department, University of Tehran, Aras International Campus, Tehran, Iran (Corresponding Author)

Ebrahim Abbasi

Associate Prof. of Finance, Finance Department, Alzahra University, University of Tehran, Aras International Campus, Tehran, Iran

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