A Discovery of Stock Portfolio through Using Cardinal Restrictions
Subject Areas :
1 - ttbank
Keywords: Pharmaceutical Industry, : Stock Basket, Improved Constraint Differential Evolution (ICDE) Algorithm, Investment Firms,
Abstract :
Diversity and complexity of investment decisions in the last few decades have increased dramatically. This massive growth has created an increasing need for integrated and comprehensive models to meet these requirements. Financial modeling has been created through linking financial approach and mathematical programming. These models use the development of mathematical programming and financial issues in parallel. The aim of this study was to develop an intelligent model for selecting optimal stock basket using an Improved Constraint Differential Evolution (ICDE) Algorithm for solving constrained optimization problems. To this end, the risk and expected returns of pharmaceutical companies and investment firms accepted in Tehran Stock Exchange have been evaluated on a monthly basis. The sample included financial data of 32 pharmaceutical companies and 28 investment firms for the years 2011 to 2015. The results show that, taking into account the interactions between risk and return, the algorithm used has the capability of selecting the optimal stock basket. Moreover, based on the results acquired it is concluded that a portfolio of pharmaceutical companies has been more efficient than investment companies
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