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Dynamic Portfolio Optimization Using Other Investor’s Portfolios

Farahbakhsh, Mahdi | 2023

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 56335 (19)
  4. University: Sharif University of Technology
  5. Department: Computer Engineering
  6. Advisor(s): Fazli, Mohammad Amin
  7. Abstract:
  8. Portfolio optimization is a crucial concept in financial engineering, focusing on the efficient management of investment portfolios. In the realm of financial markets, a portfolio refers to a collection of investments held by individuals or companies, encompassing diverse assets. Specifically, a stock portfolio consists solely of stocks. The primary objective of portfolio optimization methods is to maximize returns while controlling risks. Within Tehran’s Stock Market, valuable data pertaining to the stock portfolios of big shareholders and their historical changes can be obtained. This dataset contains vital information that can be leveraged to optimize portfolios over time and formulate effective trading strategies. We propose two methods to address this challenge. The first method involves organizing the portfolio as a linear combination of portfolios belonging to major shareholders. Essentially, in this approach, we allocate our capital to copy the trades executed by these major shareholders. The second method aims to identify patterns indicating optimal buying or selling decisions based on individual traders’ behaviors. While this method also utilizes trading information from shareholders, the resulting portfolio may not necessarily be a linear combination of the initial portfolios. To evaluate the effectiveness of each method, we compare the outcomes against benchmarks like the total stock market index
  9. Keywords:
  10. Algorithmic Trading ; Tehran Stock Exchange ; Portfolio Optimization ; Shareholders Data ; Efficiency Maximization ; Risk Control

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