Analysis and investigation of smart beta optimization in companies active in the Tehran Stock Exchange and comparing it with the Markowitz model portfolio. | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 3، دوره 16، شماره 11، بهمن 2025، صفحه 31-50 اصل مقاله (1.63 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2024.33371.4968 | ||
| نویسندگان | ||
| Amir Nasrollahi؛ Behzad Parvizi* ؛ Ataollah Mohammadi Molgharani | ||
| Department of Accounting, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran | ||
| چکیده | ||
| The primary objective of the current research is to analyze and investigate the optimization of smart beta in companies active on the Tehran Stock Exchange and to compare it with the Markowitz model portfolio. The statistical population of the present research includes all active companies on the Tehran Stock Exchange. Due to the large volume of companies admitted to the Stock Exchange, the companies' asset history was investigated from 2014 to 2016. As a result of applying restrictions in the systematic elimination sampling, a statistical sample of (148) companies (15) shares was obtained. In the following, a genetic algorithm was used to optimize the portfolio and get the model weights based on the defined models. MATLAB and SPSS 22 software were used to solve the algorithm. Five performance evaluation measures (Sharpe, Treynor, Jensen, Sortino, and Adverse Potential) were used to compare the selected portfolios based on the research results and previous models. Finally, the research results were compared with the Markowitz model \cite{17}. It was found that smart, intelligent beta optimization decisively provides a simultaneous combination of risk and better return compared to the Markowitz model in the Iranian stock market and achieves better performance. | ||
| کلیدواژهها | ||
| smart beta؛ optimal portfolio؛ Harry Markowitz model؛ genetic algorithm؛ adverse potential criterion؛ Sortino criterion | ||
| مراجع | ||
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