بهینه‌‌سازی سبد سهام در بازار بورس تهران با استفاده از تحلیل پوششی داده‌‌ها و الگوریتم جستجوی ارگانیسم‌‌های هم‌‌زیست

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، دانشکده مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران

2 استادیار، دانشکده مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران

3 دانشیار، دانشکده مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران

چکیده

امروزه، تشکیل سبد سهام بهینه و مدیریت آن از اصلی‌‌ترین حوزه‌‌های تصمیم‌‌گیری مالی بشمار می‌‌رود. بنابراین، انتخاب سبدی از سهام که بتواند به‌صورت همزمان بالاترین نرخ بازده را برای دارنده آن به ارمغان آورده و همچنین ریسک سرمایه‌‌گذاری را به حداقل میزان ممکن کاهش دهد، به یکی از دغدغه‌‌های اصلی فعالان اقتصادی مبدل گردیده است. لیکن در انتخاب سبد سهام بهینه، صرفاً این دو عامل تعیین‌‌کننده نبوده و متناسب با محیط اقتصادی می‌‌تواند عوامل مختلفی بر این فرآیند تأثیرگذار باشد که می‌‌بایست شناسایی و به‌کار گرفته شوند.لذا این امر، استفاده از رویکردهای تصمیم‌‌گیری چنـدمعیاره را اجتناب‌ناپذیر نموده است. از سوی دیگر، هنگامی‌که شرایط و محدودیت‌های دنیای واقعی نظیر محدودیت سرمایه‌‌گذاری در هریک از سهم‌‌ها و نیز محدودیت کاردینالیتی درنظر گرفته می‌‌شـوند، مسئله بهینـه‌سـازی سبد سهام به‌راحتی و با استفاده از شیوه‌‌های معمول ریاضی قابل‌‌حل نیست؛ به‌ویژه آنکه تعداد زیادی از دارایی‌‌ها در فرآیند بررسی و تشکیل سبد سهام درنظرگرفته شوند. ازاین‌رو با توجه به مطالب بیان‌شده، هـدف اصـلی پـژوهش حاضـر حـل مسئله بهینه‌‌سازی سبد سهام با تلفیق روش‌‌های تحلیل پوششی داده‌‌ها و الگوریتم جستجوی ارگانیسم‌‌های هم‌‌زیست است. در انتها نیز روش و مدل مورداستفاده در این پژوهش بـا داده‌‌هـای واقعـی آزمون شده و نتایج آن مورد تجزیه‌وتحلیل قرار گرفته است. نتایج این پژوهش نشان می‌‌دهد، رویکرد ارائه‌شده در بهینه‌سازی سبد سهام موفق عمل نموده و توانسته است به نحو مطلوبی پاسخگوی محدودیت‌‌ها و متغیرهای تأثیرگذار بازار باشد.

کلیدواژه‌ها


عنوان مقاله [English]

Portfolio Optimization in Tehran Stock Exchange by Using Data Envelopment Analysis and Symbiotic Organisms Search

نویسندگان [English]

  • Seyed Erfan Mohammadi 1
  • Emran Mohammadi 2
  • Farnaz Barzinpour 3
1 Ph.D Student, Faculty of Industrial Engineering, Iran University of Science & Technology,Tehran, Iran
2 Assistant Professor, Faculty of Industrial Engineering, Iran University of Science & Technology,Tehran, Iran
3 Associate Professor, Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
چکیده [English]

Today, the portfolio optimization and its management is one of the most important areas in financial decision-making. Therefore, picking a portfolio of stocks that could bring the highest rate of return and the lowest risk investment for its holder simultaneously has become one of the main concerns of the economic actors. But in choosing the optimum portfolio just these factors are not decisive and according to the economic environment, many factors can affect this process which should be identified and considered. Therefore, in order to cover these matter multi-criteria decision-making approaches should be used. On the other hand, when the real-world conditions and restrictions, including restrictions on investment in any of the stocks and cardinality constraint are considered in portfolio optimization, the problem is not easily solvable by means of usual mathematical methods. Specially when there are a large number of assets in the portfolio evaluation process. Regarding this fact, the main purpose of this paper is to solve portfolio optimization problem by using the Data Envelopment Analysis (DEA) and Symbiotic Organisms Search (SOS). Finally, the model used in this study has been solved with real data and the results have been analyzed. The results of this paper demonstrate that the proposed approach has been successful in portfolio optimization and has been able to properly interact with the actual limitations and effective variables of the market.

کلیدواژه‌ها [English]

  • Portfolio Optimization
  • Data Envelopment Analysis
  • Symbiotic Organisms Search
  • Tehran Stock Exchange

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