Modern Portfolio Theory

Optimal Portfolio Selection is one of the most important issues in the field of financial research. In the present study, we try to compare four various different models, which optimize three-objective portfolios using “Postmodern Portfolio Optimization Methods”, and then to solve them. These modeling approaches take into account both multidimensional nature of the portfolio selection problem and requirements imposed by investors. Concretely different models optimize the expected return, the down side risk, skewness and kurtosis given portfolio, taking into account budget, bounds and cardinality constrains. The quantification of uncertainty of the future returns on a given portfolio is approximated by means of LR-fuzzy numbers, while the moments of its returns are evaluated using possibility theory. In order to analyze the efficient portfolio, which optimize three criteria simultaneously, we build a new NSGAII algorithm, and then find the best portfolio with most Sortio ratio from the gained Pareto frontier. Thus, in this paper we choose 153 different shares from different industries and find their daily return for ten years from April of 2006 till March of 2017 and then we calculate their monthly return, downside risk, skewness, kurtosis and all of their fuzzy moments. After designing the four models and specific algorithm, we solve all of the four models for ten times and after collection of a table of the answers, compare all of them with Treyner ratio. At last, we find that using fuzzy and possibistic theory make higher return and better utilized portfolios.

In international trade and financial exchanges, global cryptocurrencies have a prominent and effective role. In this paper, using the KOF index, the structure of financial globalization is extracted and the effect of the expansion of global cryptocurrencies is examined in the two components: Foreign Direct Investment and Portfolio Investment. The Ordinary Least Squares (OLS) model has been used separately for 2020, 2021, and 2022 to analyze the results of the expansion of global cryptocurrencies in the foreign direct investment component. Also, the price changes of Bitcoin and Ethereum from March 10, 2016, to the end of December 2022 have been used to investigate the effect of global cryptocurrencies in portfolio investment by applying Modern Portfolio Theory (MPT). Also, according to the availability of data in research sources, the data of 111 countries have been used. OLS estimated results suggest that the adoption and expansion of global cryptocurrencies has no significant relationship with Foreign Direct Investment. Also, using MPT, the results of portfolio optimization suggest that global cryptocurrencies improve the effectiveness of the selected portfolios, and with the same corresponding returns, the risk of the portfolios including global cryptocurrencies decreases as well. Therefore, the results emphasize the role of global cryptocurrencies in financial globalization only as crypto-assets.