Comparison of Portfolio Optimization for Investors at Different Levels of Investors’ Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms

The gaining returns in line with risks is always a major concern for market players. This study compared the selection of stock portfolios based on the strategy of buying and retaining winning stocks and the purchase strategy based on the level of investment risks. In this study, the twostep optimization algorithms NSGAII and SPEAII were used to optimize the stock portfolios. In order to determine the winning algorithm, the performance indexes, Set coverage and the Mean Ideal Distance were used. Finally, the active shares of 50 Tehran Stock Exchange companies were analysed (20072016). The results indicate that the SPEAII algorithm can perform optimization and achieve a better performance than the NSGAII. This algorithm could achieve better outcomes than the winning strategy during the selection period based on the risktaking strategies in different months