Intelligent Knowledge Exploration and Processing

Intelligent Knowledge Exploration and Processing

Stock portfolio optimization through artificial intelligence algorithm: comparison of stock portfolio in terms of risk-taking and investor caution

Document Type : Original Article

Authors
Rouhollah Rahmani 1
reza gholami 2
seyed javad habibzade baygi 3
1 Instructor of Accounting Department, Ferdows Higher Education Institute, Mashhad, Iran
2 Graduate of Accounting, Ferdows Higher Education Institute, Mashhad, Iran
3 Assistant Professor of Accounting, Ferdows Higher Education Institute, Mashhad, Iran
10.30508/kdip.2021.291247.1002
Abstract
Stock portfolio optimization through artificial intelligence algorithm: comparison of stock portfolio in terms of risk-taking and investor caution



Abstract

The process of selecting stock portfolios for investment is one of the issues that has been considered by many researchers. In decision making for investment, two factors are very important and are the basis of investment. These two factors are risk and return, and in this regard, investors are studied to select the best investment portfolio according to the amount of risk and return. The purpose of this research is to create an intelligent model for selecting the optimal stock portfolio using research algorithms. The proposed model examines the different types of investments that an investor can and is willing to consider in order to form his or her investment portfolio. For this purpose, the expected risk and return of companies listed on the Tehran Stock Exchange have been examined on a monthly basis. The statistical sample of the research includes the financial data of 237 Iranian stock exchange companies during the years 1390 to 1398. The results show that the LISFLA algorithm is able to select a portfolio using the Marquis model for risk-averse and risk-averse investors.

Keywords: stock portfolio, risk, return, frog algorithm
Keywords
stock portfolio
risk
return
frog algorithm
risk-taking
investor caution