Portfolio Optimization Using Black Hole Meta Heuristic Algorithm
Kaveh Mehrani, Amirmehdi Mirshahvalad, Ebrahim Abbasi
The aim of this research is optimization portfolio by using black hole algorithm in Tehran security exchange and comparing with Markowitz. In this research, the semi variance approach is used due to its ability in measuring downside risk and it is tried to reduce the appropriate portfolio risk. This research is conducted in the period 2012 to 2017. The method of this research is applied in terms of the aim of research and it is descriptive-correlational research base on the data collection manner that retrospective approach, post-event and through analysis the observed data, we try to optimization portfolio by using black hole algorithm. The results of research show that we conclude by using black hole algorithmic that all years the black hole method has obtained results the same as Markowitz's results and can be the suitable pattern for optmization portfolio.