Akademik Veri Yönetim Sistemi
1st International Conference on Scientific and Academic Research (ICSAR), Konya, Türkiye, 12 - 13 Aralık 2022, ss.215
One of the critical issues in financial
management is investment decision-making, and one of the main objectives of
investment management is optimal stock portfolio selection. For this reason,
there are various criteria and methods for selecting the optimal stock
portfolio in the literature. This article uses data from 6 companies (Amazon,
Yahoo, Microsoft, IBM, Apple, and Google) in the one-month period from January
2014 to November 2014 and first calculates the return on investment and
investment risk. The investment is calculated by 4 classical methods
(mean-variance, mean-half variance, mean absolute deviation, conditional value
at risk). As a result of these calculations, the maximum return on investment
(0.0142) for each of the classical methods, and 0.05706, 0.028409, 0.028871,
and 0.032995 with Risk, respectively, were calculated. Then, meta-heuristic
methods (PSO, NSGA-II) were used for the optimal selection of the portfolio. As
a result of the calculations, it is seen that the NSGA-II meta-heuristic
algorithm has a lower risk of achieving the highest return on investment.