Portfolio Optimization in Tehran Stock Exchange by Using Data Envelopment Analysis and Symbiotic Organisms Search

Today, the portfolio optimization and its management is one of the most important areas in financial decision-making. Therefore, picking a portfolio of stocks that could bring the highest rate of return and the lowest risk investment for its holder simultaneously has become one of the main concerns of the economic actors. But in choosing the optimum portfolio just these factors are not decisive and according to the economic environment, many factors can affect this process which should be identified and considered. Therefore, in order to cover these matter multi-criteria decision-making approaches should be used. On the other hand, when the real-world conditions and restrictions, including restrictions on investment in any of the stocks and cardinality constraint are considered in portfolio optimization, the problem is not easily solvable by means of usual mathematical methods. Specially when there are a large number of assets in the portfolio evaluation process. Regarding this fact, the main purpose of this paper is to solve portfolio optimization problem by using the Data Envelopment Analysis (DEA) and Symbiotic Organisms Search (SOS). Finally, the model used in this study has been solved with real data and the results have been analyzed. The results of this paper demonstrate that the proposed approach has been successful in portfolio optimization and has been able to properly interact with the actual limitations and effective variables of the market