Analysis of the ownership structure in the stock portfolio of risk-taking and risk-averse investors

Abstract

Objective: Long-term and continuous economic growth requires the provision and optimal allocation of resources at the level of the national economy, and this is not possible without the help of financial markets, especially the extensive and efficient capital market. One of the important topics that is discussed in the capital markets and should be taken into consideration by investors, whether natural or legal persons, is the topic of choosing the optimal investment portfolio. Investors try to choose companies that are not top and have high ratings. The informational approach to stock portfolio optimization has always been an exciting task, as many factors have to be considered. Therefore, many methods based on artificial intelligence algorithms have been developed in the past decades to solve the portfolio optimization problem (Chenho et al., 2020). A stock portfolio is a type of investment that consists of several stocks. The goal of a stock portfolio is to minimize investment risk and maximize investment returns. To build an optimal stock portfolio, one needs a stock selection strategy and must choose the percentage of investment in each stock (Vassiani et al., 2020). To choose an optimal and efficient portfolio, investors choose companies that are among the top companies in the stock market and have a higher rating (Keighbadi and Ahmadi, 2015). The problem of stock optimization is a fundamental financial problem, and the topic of choosing the optimal stock portfolio has occupied the minds of experts in the investment field since the past. One of the basic assumptions in finance is that due to scarcity of resources, all economic options face some kind of trade-off. The basic issue that a rational investor faces when making a decision is choosing between the amount of return he wants to get and the amount of risk he accepts according to that return; Therefore, the basic step in the investment process is to determine how to allocate their financial resources in the best way (Bechis et al., 2020). Hence, everyone is looking for better economic situations to invest. Financial markets create attractive opportunities to earn money and generate wealth. Today, investing in these markets is freed from the constraints of cumbersome and time-consuming issues and provides favorable conditions for profitability. Therefore, these markets have been able to attract many people and funds; but the other side of the coin is the high risk of investing in these markets. Operating in these markets requires accepting a risk that cannot be controlled without the necessary knowledge and skills. Until now, various methods have been presented for evaluating financial assets and choosing a portfolio. However, this area is still not without the need to provide more complete models, because the current models are far from the real market conditions and this issue has caused the use of these models by investors not to be accompanied by promising results (Jasmi et al., 2011). In fact, portfolio composition shows how capital is allocated to financial assets. Portfolio management is one of the basic issues in financial management. This issue is necessary for economic progress, especially for developing countries with emerging markets like Iran. Considering the importance of predicting the optimal stock portfolio in the financial markets on the one hand, as well as the discussion of investors' views from the perspective of capital risk, this research has analyzed the long-term memory and ownership structure. Therefore, according to the mentioned contents, the purpose of this research can be defined as the analysis of the ownership structure in the formation of the optimal stock portfolio.

Method: The current research is a type of applied research in terms of classification based on the goal. In this research, using the financial information of 119 companies admitted to the Tehran Stock Exchange and with two goals, the use of MATLAB software and the Marquise model and the frog artificial intelligence algorithm to form a stock portfolio, as well as the Avios software to analyze the significant difference in the behavior of the ownership structure in Each of the proposed stock portfolios was made with a different level of risk tolerance.

Results: The results show that, in general, the ownership structure in the portfolio of risk-taking investors Escape has no significant difference And the findings show that the frog algorithm has the ability to form the optimal stock portfolio and it is different in the stock portfolio of risk-taking and risk-averse investors, and also the ownership structure in the stock portfolios of risk-taking and risk-averse investors is not significantly different. In fact, there are three types of investors (risk investors avoidance, balanced investor and non-risk averse investor) have been studied in this research.

Conclusion: Therefore, it is expected that the optimal stock portfolio is different for the range of risk-taking and risk-averse people, and according to the investment spirit, people can form the optimal stock portfolio differently and expect the desired return. Therefore, it is expected that the optimal stock portfolio is different for the range of risk-taking and risk-averse people, and according to the investment spirit, people can form the optimal stock portfolio differently and expect the desired return.

Keywords: stock portfolio, ownership structure, artificial intelligence algorithm.