انتخاب سبد سهام فازی با بررسی همزمان بازده و ریسک نامطلوب

نوع مقاله : مقاله پژوهشی

نویسنده

استادیار، گروه مدیریت عملیات و فناوری اطلاعات، دانشکده مدیریت، دانشگاه خوارزمی، تهران، ایران

چکیده

مساله بهینه‌سازی و انتخاب سبدسهام و تنوع بخشی آن یکی از موضوعات جذاب و کاربردی در بازارهای مالی است که به‌عنوان ابزاری کارآمد در راستای کمک به تصمیم‌گیری‌های سرمایه گذاران از نتایج آن استفاده می شود. مقاله حاضر به مدلسازی انتخاب سبد سهام با در نظر گرفتن محدودیت حدود نسبت های سرمایه گذاری جهت بهینه سازی همزمان بازده و ریسک در شرایط عدم اطمینان فازی می پردازد. برای این منظور، دو مدل برنامه ریزی امکانی جدید با بکارگیری اندازه های میانگین و ریسک نامطلوب احتمالی و امکانی بازده فازی توسعه داده می شود. با بررسی عملکرد این مدل ها با استفاده از داده های مارکویتز و بورس اوراق بهادار تهران، نتایج نشان می دهد که این مدل ها قادر هستند با بهینه سازی همزمان بازده و ریسک، سبد سهام مناسب را با توجه مقادیر مختلف حدود نسبت های سرمایه گذاری براساس گرایش ها و استراتژی های مختلف سرمایه گذاران ارائه دهد.

کلیدواژه‌ها


عنوان مقاله [English]

Fuzzy Portfolio Selection Model by Considering the Return and Downside Risk

نویسنده [English]

  • mojtaba farrokh
Assistant Professor, Department of Operations Management and Information Technology, Faculty of Management, Kharazmi University, Tehran, Iran
چکیده [English]

Portfolio optimization problem is one of the most interesting and practical issues in the financial markets. Portfolio optimization is applied as an applicable and efficiant tool for helping investors in their decision making by allocating wealth to the different asset with controlling the return and risk. The purpose of this paper is to develop a novel portfolio selection and optimization method in portfolio selection problem by considering the return and risk under fuzziness. In the paper, two possibilistic programming model is developed by applying measures of the probabilistic and possibilistic mean and downside risk of fuzzy return. The performance of the proposed models was evaluated by using historical data introduced by Markowitz and data of the Tehran Stock Exchange. The results of the paper show that the proposed models are able to propose an appropriate portfolio for investors with optimizing the return and risk, simultaneously, in terms of different investment strategies.

کلیدواژه‌ها [English]

  • Downside risk
  • Fuzzy Portfolio
  • Possibilistic Programming
  • Probabilistic and Possibilistic Mean
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