Comparing the performance of optimization models with equity investment funds: evidence from the Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Mahmood Pakbaz kataj ¹ (Ph.D student of financial management, Department of Accounting and Finance, Faculty of Economics, Management and Accounting, Yazd University,Yazd , Iran)
Daryush Farid ² (Associate Professor of Management (Financial), Department of Accounting and Finance, Faculty of Economics, Management and Accounting, Yazd University, Iran. (Corresponding Author))

Received: 2022-07-16 Accepted : 2022-07-16 Published : 2022-05-22

Keywords: Black Literman model, Markowitz Model, Mutual Funds, portfolio optimization,

Abstract :

Since portfolio optimization models are based on past information, the efficiency of these models has always been questioned. In this study, first, an optimization model based on investor views is introduced and then the performance of all optimization models are compared with the performance mutual funds to both measure the effectiveness of these models and to achieve a practical model for this purpose. The research period is between 2016 and 1400 and MATLAB software has been used to obtain the optimal portfolio. The results show that using different evaluation criteria, the optimal portfolio of Black Literman model performs better than other optimization models and mutual funds; Also, the returns generated by all optimization models at the market risk level were significantly higher than the average returns of equity mutual funds and top mutual funds.

References:

باقری، اکبر، رمضانی، علی، پورسعید, عباس. (1397). آزمون مدل تأثیرگذاری روش‌های تأمین مالی داخلی و خارجی بر بازده کل واقعی سهام. دانش سرمایه‌گذاری. 7(26), 185-198 .

دایی کریم زاده، سعید. (1395). «ترکیب بهینه تسهیلات مشارکتی بانک‌های تجاری ایران در بخش‌های اقتصادی با استفاده از نظریه فرا مدرن سبد سرمایه‌گذاری». مدیریت دارایی و تأمین مالی. شماره 4.

عباد‌زاده کمال (1378). بررسی تحلیلی رابطه بازده سرمایه‌گذاری در سهام عادی و نسبت قیمت به سود. پایان‌نامه کارشناسی ارشد. دانشگاه شهید بهشتی.

فلاح‌پور، سعید، رضوانی، فاطمه، رحیمی، محمدرضا. (1394). «برآورد ارزش در معرض ریسک شرطی (CVaR) با استفاده از مدل‌های ناهمسانی واریانس شرطی متقارن و نامتقارن در بازار طلا و نفت». دانش مالی تحلیل اوراق بهادار. 8(26), 1-18.

گودرزی فراهانی، علی.(1390). «ارائه  مدلی به‌منظور بهینه‌سازی سبد سهام با رویکرد بیزین». پایان‌نامه کارشناسی ارشد، دانشگاه تهران.

موسوی، محمدمهدی، نادری، شهیره، حسن لو، خدیجه. (1396). «تعیین ترکیب بهینه دارایی‌ها: رویکرد ترکیبی مدل بلک-لیترمن و تغییرات رژیم‌ها». مدل‌سازی ریسک و مهندسی مالی.2(3), 380-397 .

Bayram, K., Abdullah, A., & Meera, A. K. (2018). Identifying the optimal level of gold as a reserve asset using Black–Litterman model: The case for Malaysia, Turkey, KSA and Pakistan. International Journal of Islamic and Middle Eastern Finance and Management.

Beneda. L. Nancy, (2002), "Investing in Growth Stocks May Not Pay Off' The CPA JolInlal.New York. 'Personal Financial Planning.' September

Bessler, W., Opfer, H., & Wolff, D. (2017). Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches. The European Journal of Finance, 23(1), 1-30.

Black, F. and Litterman, R. (1991). “Asset Allocation: Combining Investors Views with Market Equilibrium.” Fixed Income
Research, Goldman, Sachs & Company, September.

Black, F., & Litterman, R. (1992 ). Global portfolio optimization. Financial Analysts Journal, 21-43.

Bradshaw, M, Richardson, S, & Sloan, R. (2013). The relation between corporate financing activities, analysts’ forecasts and stock returns. Journal of accounting and economics. Forthcoming

Chan, K, Chan, K.L, Jegadeesh, N, and Lakonishok, J. (2004)" .Earnings Quality and Stock Returns . "www.gradientanalytics.com.

Fernandes, B., Street, A., Fernandes, C., & Valladão, D. (2018). On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study. Finance Research Letters, 27, 201-207.

Fuhrer, A., & Hock, T. (2019). Uncertainty in the Black-Litterman model: A practical note (No. 68). Weidener Diskussionspapiere.

Kara, M., Ulucan, A., & Atici, K. B. (2019). A hybrid approach for generating investor views in Black–Litterman model. Expert Systems with Applications, 128, 256-270.

Kolm, P. N., Ritter, G., & Simonian, J. (2021). Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management. The Journal of Portfolio Management, 47(5), 91-113.

Lai, S., & Li, H. (2018). The performance evaluation for fund of funds by comparing asset allocation of mean–variance model or genetic algorithms to that of fund managers. Applied Financial Economics, 18(6), 485-501.

Markowitz, H.M. (1952 ). “Portfolio Selection.” The Journal of Finance, March

Palczewski, A., & Palczewski, J. (2019). Black–Litterman model for continuous distributions. European journal of operational research, 273(2), 708-720.

Stoilov, T., Stoilova, K., & Vladimirov, M. (2021). Application of modified Black-Litterman model

 

for active portfolio management. Expert Systems with Applications, 186, 115719.

Vladimirov, M., Stoilov, T., & Stoilova, K. (2017). New formal description of expert views of Black-Litterman asset allocation model. Cybernetics and Information Technologies, 17(4), 87-98.