The College of Administration and Economics at the University of Baghdad discussed , a master’s thesis in field of Business Administration by the student ( Sara Muntiser Baqer ) and tagged with (Selecting an investment portfolio based on the value at risk of entropy using genetic algorithm: an analytical study in the Iraqi stock market) , Under supervision of (Asst. Prof. Dr. Walaa Ismail Abdullatif )
The study aims to analyze and evaluate the risks and performance of an optimal investment portfolio selected and constructed based on the principle of diversification according to excess return relative to beta and the risk-free rate, using models and performance metrics such as entropy-weighted value-at-risk (VaR), conditional value-at-risk (Cvar), and entropy-weighted value-at-risk (Evar) (VaR, CVaR, EVaR)—value at risk, conditional value at risk, and entropic value at risk—at different confidence levels using historical and parametric methods for individual years of the financial portfolios, and for the entire period (2022–2024) to achieve the objectives and preferences of investors and portfolio managers, as there is a genuine need for more accurate and efficient risk measurement metrics for financial instruments that comply with conditions, constraints, and optimization strategies represented by five portfolios ranging from traditional to modern (the traditional Markowitz portfolio—risk minimization—balance). In addition, the parent genetic algorithm is used to find the best near-optimal solutions. To achieve the objectives of this study, monthly closing prices from the Iraqi Stock Exchange General Index were used. The results demonstrate the effectiveness and superiority of the Entropy Risk (Evar) measure and the measure’s success in managing and hedging against random fluctuations and extreme risks. The effectiveness of the hybrid integration of genetic algorithms with the measure is evident, as the portfolios optimized by the genetic algorithm and the balanced portfolio demonstrated good performance, very close to Sharpe’s portfolio, respectively. This demonstrates their ability to achieve an acceptable balance, making them a useful tool for investors and thus the best choice for investors seeking to achieve returns while ensuring the highest possible levels of conservatism and security.
