بهینه سازی انتخاب سبد سرمایه در شرایط ریسک با الگوریتم فراابتکاری ترکیبی ژنتیک (GA) و بهینه سازی شیر (LOA)

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار، گروه مهندسی صنایع، دانشگاه میبد، میبد، ایران.

2 استادیار گروه مدیریت، دانشگاه میبد، میبد، ایران.

چکیده

انتخاب سبد سرمایه یکی از مهمترین دغدغه‌های هر سرمایه‌دار می‌باشد و هدف نحوه توزیع سرمایه در بخش‌های مختلف به­گونه‌ای است که بیشترین نرخ بازدهی را از دید سرمایه‌گذار داشته باشد. پس‌انداز در مؤسسات مالی و یا در قالب خرید اوراق قرضه و یا سرمایه‌گذاری در زمینه‌هایی همچون بازار مسکن، بازار سهام، بازار ارزهای خارجی و یا فلزات قیمتی همچون طلا و نقره از جمله انتخاب‌های مهم برای هر سرمایه‌گذار البته با درجه ریسک‌های متفاوت است. شرایط تصمیم‌سازی می‌تواند اطمینان کامل، ریسکی و یا عدم اطمینان کامل و تکنیک‌های تصمیم‌سازی می‌تواند بهینه‌سازی و یا ابتکاری باشد. تاکنون در طول چند دهة گذشته روش‌های مختلفی بسته به شرایط مسئلة انتخاب سبد سرمایه ارائه شده است. در این پژوهش، یک الگوریتم فراابتکاری بر پایة الگوریتم ژنتیک و بر اساس زندگی گروهی شیرها جهت یافتن یک سبد سرمایة مناسب برای سرمایه‌گذار در شرایط ریسکی معرفی شده است. استفاده از تخمین‌های خوش‌بینانه، محتمل و بدبینانه راهکاری است که در شرایط ریسکی استفاده شده است. نتایج حاصل از پژوهش، مؤید کارآمدی روش معرفی شده در تعیین نحوة توزیع سرمایه در بخش‌های مختلف با معیار حداکثر بازدهی سرمایه است.

کلیدواژه‌ها

عنوان مقاله [English]

Optimization Portfolio Selection in Risk Situations with Combined Meta-Heuristic Algorithm of Genetic Algorithm (GA) and Lion Optimization Algorithm (LOA)

نویسندگان [English]

  • Mohammad Mirabi 1
  • Mohammad Zarei Mahmoudabadi 2
1 Assistant professor, Department of Industrial Engineering, Meybod University, Meybod, Iran
2 Assistant Professor, Department of Industrial Management, Meybod University, Meybod, Iran
چکیده [English]

Portfolio selection is one of the most concerns of any investor and the goal is to distribute the capital in different assets in such a way that it has the highest rate of return with considering the minimal risk from the investor's point of view. Saving in financial institute or buying bonds and investment in housing market, stock market, foreign currency market or precious metals such as gold and silver are one of the most important choices for any investor with different degrees of risk. Decision situations can be completely certainly, risky and completely uncertainly and solving techniques can be optimization or heuristics. So far during the past decade, different methods are presented depending on the conditions of the capital portfolio selection issue. In this research, a meta-heuristic algorithm based on genetic algorithm and based on the group life of lions is introduced to find a suitable capital portfolio for the investor in risky conditions. Using optimistic, most likely and pessimistic estimates is a strategy used in risky situations. The results of the research confirmed the efficiency of the proposed algorithm in distribution of capital in different sectors with the criterion of maximum return on capital. Also, the proposed algorithm performed better than the whale optimization algorithm in optimizing the portfolio of the top 50 listed companies in terms of stock portfolio return and risk criteria and the time to reach the answer.

کلیدواژه‌ها [English]

  • Portfolio Selection
  • Modern Portfolio Theory (MPT)
  • Genetic Algorithm (GA)
  • Lion Optimization Algorithm (LOA)
  • Risk

مراجع

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