جستجوی مقالات مرتبط با کلیدواژه "portfolio optimization" در نشریات گروه "فناوری اطلاعات"

This study examines and optimizes investment portfolios using Similarity and TOPSIS methods. The aim of this study is to identify and rank assets in order to create a diversified and low-risk portfolio that can provide the best possible returns. The Similarity method is used to identify the correlation between assets and find more diversified combinations, while the TOPSIS method ranks assets based on their proximity to the positive ideal by evaluating multiple criteria. This research is applied in nature and is classified as descriptive-survey research in terms of data collection method. The statistical population of the study includes companies listed on the stock exchange during the period from 2011 to 2020. A judgmental sampling method is employed in this research. The results indicate that the combination of these two methods with the Markowitz model can lead to improved portfolio performance and offer better results under different market conditions. This practical approach enables investors to create an optimized portfolio resistant to market fluctuations through detailed analysis based on multiple data points.

Recently, many investors have become interested in investing in cryptocurrency market. Investing in an asset carries a lot of risk and may bankrupt the investor. The main way to control this risk is portfolio diversification. In this paper, we will investigate the effect of portfolio diversification by adding cryptocurrencies to the portfolio. We evaluate the performance of seven risk-based portfolio optimization strategies. these strategies are the minimum variance, inverse volatility, L2-norm constrained minimum variance, L2-norm constrained maximum decorrelation, risk parity portfolio and maximum diversification. Our portfolios consist of three markets stocks including, Tehran Stock Exchange, Commodities and Cryptocurrencies. Also, due to the fact that the cryptocurrency market has gained a significant attraction among investors, we will examine the positive and negative effects of adding the five selected currencies, simultaneously and separately to the base portfolio, which is Tehran Stock Exchange-Commodities portfolio. We investigate that whether adding cryptocurrencies to a stock portfolio can be considered as a tool to improve a risk-based portfolio. After analyzing portfolios, the best portfolio in each strategy and the best strategy in each portfolio are introduced from the aspects of risk, return and Sharpe ratio, and finally we have concluded that entering the cryptocurrency market in most of the strategies lead to an overall increase in the return, while the approach is to minimize the risk of the portfolio. So, it can be concluded that if the main goal is to build a more diversified portfolio, better outcome can be obtained for the investor considering the return gained.