Portfolio Optimization and the Contrarian Strategy-Based Performance: Evidence from Tehran Stock Exchange

Investors seek to choose a portfolio with the highest returns and the lowest investment risk in the stock market. The Contrarian strategy is one of the well-known models to construct a portfolio which suggests buying the stocks with the worst performance (the loser stocks) and selling the stocks with the best performance (the winner stocks). In this model, the weight of all assets is equal in the portfolio, which is not necessarily optimal. In this research, portfolio optimization is studied using the contrarian investment strategy. To obtain the best composition of an optimal portfolio, the data related to the returns of the companies listed on TSE during the period ۲۰۱۴-۲۰۱۹, the winning and losing portfolios as well as contrarian portfolios are examined. The presented model was optimized, using a nonlinear multivariate optimal model, in which the presence of a contrarian in the optimal contrarian portfolio was confirmed. Furthermore, MATLAB software calculates the optimal weight of assets in the contrarian portfolio statistical data.

Keywords:

Contrarian Strategy , Portfolio , Contrarian Portfolio , Portfolio Optimization