Analyzing the Optimal Portfolio Structure across Firms of Different Sizes: Evidence from the PSO Model in the Tehran Stock Exchange

Document Type : Original Article

Authors
Zeinab Gholipour Souteh 1
Reza Qolami Jamkarani 2
Seyyed Kazem Chavoshi 3
Mojgan Safa 2
1 PhD Student in Financial Engineering, Department of Finance and Accounting, Qom Branch, Islamic Azad University, Qom, Iran
2 Associate Professor, Department of Finance and Accounting, Qom Branch, Islamic Azad University, Qom, Iran
3 Associate Professor, Faculty of Management, Kharazmi University, Tehran, Iran
10.22034/jik.2025.78543.4761
Abstract
The aim of this study is to analyze the structural characteristics of the optimal portfolio, with a specific focus on the role of firm size in asset allocation. To this end, we utilize the outcomes of a portfolio optimization model based on the Particle Swarm Optimization (PSO) metaheuristic algorithm. The model incorporates two key variables—firm size and systemic risk—and is applied to data from 25 selected companies listed on the Tehran Stock Exchange over the period 2011 to 2023. Companies were selected using a systematic elimination sampling method.
The findings reveal that the proposed portfolio structure is significantly influenced by firm size, with the model tending to allocate greater weight to larger and less risky firms. These results indicate that larger companies play a more stabilizing role in portfolio composition under conditions of market volatility and systemic risk. The presented analysis contributes to a deeper understanding of the performance of metaheuristic algorithms in financial decision-making and offers a foundation for improving asset allocation policies and portfolio design in emerging markets such as Iran.
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