International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Explaining Optimal Portfolio Management and Adverse Risk Management Using Econometric Systems

Document Type : Original Article

Authors
shahram izadi 1
ali Esmaeilzadeh Maghri 2
Farzaneh Haji Hassani 3
Shadi shahverdian 4
1 Department of Financial Management, SR.C, Islamic Azad University, Tehran, Iran
2 Department of Accounting, CT.C, Islamic Azad University, Tehran, Iran
3 Department of Economics, SR.C, Islamic Azad University, Tehran, Iran
4 Department of Financial Management, QC.C, Islamic Azad University, Tehran, Iran
10.22034/ijfma.2026.78861.2323
Abstract
The purpose of this research is to explain the management of optimal portfolio optimization and adverse risk management using econometric systems. The tool for collecting financial information is the data of top companies listed on the stock exchange, which derive their value from a base asset. Obviously, to enter the market of top companies, an investor needs to predict the future trend of particle swarm optimization to hedge their adverse risk. For this purpose, the present research has proceeded to select a suitable equation for modeling the economy of portfolio optimization and adverse risk management. Portfolio optimization in adverse risk management is shown for the years 2016-2021. In building the models, 65% of the data were used for training, 15% for validation, and 20% for fuzzy testing. The fuzzy model technique had better performance in predicting adverse risk, and the model that simultaneously uses scenario number one and ANFIS provides a more accurate prediction. This is because intelligent techniques provide a better estimate of the future return of adverse risk stocks (Value at Risk and Ultimate Expected Shortfall) compared to the historical average return.
Keywords
Financial markets
Market risk
Investment decisions
Downside risks
Price fluctuations
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