نوع مقاله : مقاله علمی پژوهشی
نویسندگان
1 دانشگاه آزاد اسلامی واحد قم
2 دانشگاه خوارزمی
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The increasing volatility of financial markets and the growing interdependence among economic entities have intensified the need to pay special attention to systemic risk in investors’ decision-making processes. Systemic risk, defined as the risk of widespread disruptions that can affect the entire market or large segments of it, holds particular importance in portfolio management and financial policymaking. In this context, firm size, as a key structural factor, plays a decisive role in determining a company's vulnerability to widespread shocks. Smaller firms are generally more exposed to market fluctuations and financial crises, whereas larger firms, due to greater financial resources and operational diversification, tend to exhibit higher resilience against such shocks.
A review of the literature indicates that, although various measures for assessing systemic risk have been developed in recent years, the simultaneous integration of systemic risk and firm size in portfolio optimization models has been relatively limited. Most previous studies focused primarily on individual asset risk or expected returns, often overlooking the moderating role of structural firm characteristics, particularly size, in shaping the optimal portfolio composition. This research gap motivates the design of an integrated framework that can simultaneously account for the effects of systemic risk and structural differences among firms in investment decision-making.
The present study aims to provide an integrated framework for portfolio optimization in the Tehran Stock Exchange, where systemic risk is measured using the Marginal Expected Shortfall (MES) metric, firm size is considered as a moderating variable for systemic risk, and the Particle Swarm Optimization (PSO) algorithm is employed to determine the optimal portfolio composition. The use of MES as an advanced indicator allows for a quantitative assessment of the potential impacts of severe market shocks on each firm, while clarifying the role of firm size in mitigating these effects.
The study’s data consist of daily stock prices and market capitalization information of listed companies over the research period. After calculating MES for each firm, companies were categorized into three groups—small, medium, and large—based on size, to examine the differential effects of systemic risk across firms with varying financial and operational structures. Subsequently, a multi-objective optimization model aimed at minimizing systemic risk and maximizing expected return was executed using the PSO algorithm, determining the optimal portfolio composition while considering real-world constraints and market conditions.
The results reveal that smaller firms exhibit significantly higher systemic risk compared to larger firms, which substantially influences the structure of the optimal portfolio. In the presence of systemic risk, the weight of assets from smaller firms is reduced, and the portfolio composition shifts toward more stable, larger firms. Conversely, the share of large firms in optimal portfolios increases, indicating that investors, when accounting for systemic risk, prefer firms with greater stability and higher resilience against widespread market fluctuations. These findings emphasize that neglecting systemic risk can lead to inefficient weight allocation and inaccurate portfolio risk estimation, exposing investment decisions to considerable threats.
By simultaneously integrating systemic risk, firm size, and the PSO algorithm, this study offers an innovative framework for portfolio optimization in volatile markets, serving as a practical guide for investors, asset managers, and financial policymakers. Furthermore, it lays the groundwork for future research in risk management and portfolio optimization, demonstrating that attention to both structural firm characteristics and systemic risk can enhance investment decision quality and the stability of financial markets.
کلیدواژهها [English]
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