رویکرد ترکیبی روش بهترین-بدترین آرمانی خطی و طبقه‌بندی چند شاخصه برای تشکیل سبد سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، گروه مدیریت صنعتی، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران

2 استاد، گروه مدیریت صنعتی، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران

3 استاد، گروه مدیریت صنعتی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران

چکیده

در چهار دهه اخیر تصمیم‌گیری چند شاخصه همواره یک حوزه فعال پژوهشی و کاربردی بوده است. آنچه تا به امروز بیشتر بدان پرداخته شده است توسعه یا بکارگیری تکنیک‌های تصمیم‌گیری چند شاخصه برای رتبه‌بندی گزینه‌های موجود بوده است. اما حیطه تصمیم‌گیری چند شاخصه فقط به این نوع مساله محدود نمی‌شود و مسائل طبقه‌بندی را نیز در بر می‌گیرد. هدف از پژوهش حاضر پیشنهاد رویکردی ترکیبی متشکل از روش‌های بهترین-بدترین آرمانی خطی و یک روش نوین طبقه‌بندی چند شاخصه به منظور تشکیل سبد سهام در بازار بورس اوراق بهادار تهران است. در این مطالعه وزن شاخص‌های موثر بر انتخاب سبد سهام در طی یک فرآیند تصمیم‌گیری گروهی با استفاده از روش بهترین-بدترین آرمانی خطی تعیین شدند. سپس با استفاده از روش پیشنهادی طبقه‌بندی چند شاخصه، سبد سهام تشکیل شد. روش پیشنهادی قادر است ترجیحات تصمیم‌گیرنده نظیر دامنه تعداد سهام‌های موجود در سبد سهام و یا محدودیت‌هایی نظیر حداکثر تعداد سهام از هر صنعت را در نظر بگیرد. در این مطالعه نتایج بدست آمده از روش پیشنهادی با روش‌های تاپسیس‌سورت و ویکور‌سورت مقایسه شد. نتایج بدست آمده دقت بالای روش پیشنهادی را نشان داد و سبد سهام تشکیل شده توسط روش پیشنهادی به طرز قابل توجهی سودآورتر از روش‌های دیگر بود. رویکرد پیشنهادی در این پژوهش را می‌توان در سایر مسائل دنیای واقعی که ماهیت طبقه‌بندی دارند نیز بکار گرفت.

کلیدواژه‌ها


عنوان مقاله [English]

A hybrid approach of linear goal programming-based best-worst and multi-attribute sorting methods to form a stock portfolio

نویسندگان [English]

  • Mir Seyed Mohammad Mohsen Emamat 1
  • Maqsood Amiri 2
  • Mohammad Reza Mehrgan 3
  • Mohammad Taghi Taghavifard 2
1 PhD student, Department of Industrial Management, Faculty of Management and Accounting, Allameh Tabatabai University, Tehran, Iran
2 Professor, Department of Industrial Management, Faculty of Management and Accounting, Allameh Tabatabai University, Tehran, Iran
3 Professor, Department of Industrial Management, Faculty of Management, University of Tehran, Tehran, Iran
چکیده [English]

In the last four decades, multi-attribute decision-making has always been an active field of research and application. So far, the focus has been developing or applying multi-attribute decision-making techniques to rank existing options. However, multi-attribute decision-making is not limited to this type of problem and also includes sorting problems. This study proposes a hybrid approach of linear goal programming-based best-worst and multi-attribute sorting methods to form a stock portfolio in the Tehran Stock Exchange. In this study, the weights of the attributes affecting the stock portfolio selection were determined using the linear goal programming-based best-worst method. Then, the stock portfolio was formed using the proposed multi-attribute sorting method. The proposed method can consider decision-maker preferences such as the range of stocks in the portfolio or the maximum number of stocks in each industry. The results obtained from the proposed method were compared with TOPSIS-Sort and VIKOR-Sort methods. The results showed the high accuracy of the proposed method, and the stock portfolio formed by the proposed method was significantly more profitable than other methods. The proposed approach in this research can be applied to different real-world sorting problems.

کلیدواژه‌ها [English]

  • Multi-attribute decision-making
  • Multi-attribute sorting method
  • Goal programming based best-worst method
  • Stock portfolio selection
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