Select a stock portfolio to invest and identify top companies With the limitations of L and using the machine learning method

Document Type : Research Paper

Authors

1 ph.D student of accounting, Department of economics and accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran

2 Professor of financial management, Department of management and economic, Science and Research Branch, Islamic Azad University,Tehran, Iran

3 Assistant professor of accounting, Department of economics and accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran

Abstract

The process of selecting portfolios (identifying top companies) to invest is one of the issues that many researchers have been concerned about. Various criteria involved in this process have evolved over time and this situation requires the use of an appropriate tool to support investment decisions. The purpose of this research is to select stock portfolios to identify the top companies for investing with the L-constraint method using the machine learning method. For this purpose, the companies that have been listed as Salat in the optimal stock portfolio for investment have been introduced as the top investment companies. The statistical sample of the study includes financial data of 251 companies listed in Tehran Stock Exchange between 2012 and 2017. The results of the research show that the particle swarm optimization algorithm, as well as simultaneously in the study period, is able to select superior companies using the MVP minimum variance model with the limit of l_1-l_∞.

Keywords

Financial Management Strategy

Articles in Press, Accepted Manuscript
Available Online from 07 July 2019

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History

  • Receive Date: 04 February 2019
  • Revise Date: 08 June 2019
  • Accept Date: 18 June 2019

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