توسعه مدل دو هدفه انتخاب سبد سهام چند دوره‌ای با در نظر گرفتن شاخص‌های ریسک

نوع مقاله : مقاله پژوهشی

نویسندگان

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

2 دانشیار، گروه مهندسی صنایع، دانشکده مهندسی صنایع، دانشگاه آزاد اسلامی واحد تهران جنوب، تهران، ایران

3 دانش آموخته کارشناسی ارشد، گروه مهندسی صنایع، دانشکده مهندسی صنایع، دانشگاه آزاد اسلامی واحد تهران جنوب، تهران، ایران

4 دانش‌آموخته دکتری مهندسی صنایع، گروه مهندسی صنایع، دانشکده مهندسی صنایع، دانشگاه آزاد اسلامی واحد تهران جنوب، تهران، ایران

چکیده

مسئله مورد تحقیق، مد‌ل‌­سازی سبد سهام در بازار سرمایه با توجه به اهمیت لزوم مشارکت سرمایه‌گذاران خرد در انتقال نقدینگی برای توسعه صنعتی کشور می‌باشد. برای انتخاب سهام پربازده و با هدف اینکه سرمایه‌گذاران، عایدی بیشتر از نرخ سود بدون ریسک داشته باشند، باید شاخص‌هایی برای اندازه‌گیری ریسک سرمایه‌گذاری و کمینه کردن آن به­‌منظور رسیدن به یک جواب بهینه با ایجاد تعادل بین ریسک سرمایه‌گذار و حداقل بازده مورد انتظار وی در نظر گرفته شود. در این تحقیق، از سنجه‌های ریسک منسجم ارزش در معرض خطر شرطی برای کمینه کردن ریسک درون سهام و ارزش در معرض خطر با در نظر گرفتن کوواریانس قیمتی برای حداقل نمودن ریسک بین سهام استفاده می‌گردد. در اجرای مدل با دو رویکرد قطعی و فازی و با استفاده از تکنیک‌های برنامه‌ریزی تصادفی محدودیت شانس برای قطعی کردن محدودیت احتمالی که ارتباط بین دو شاخص ریسک ذکر شده را بیان می‌کند و همچنین روش حل برنامه‌ریزی آرمانی به‌­منظور حل مدل دو هدفه صورت گرفته است. مدل‌های ساخته شده در نرم افزار لینگو اجرا شده‌اند. نتایج به‌­دست آمده حاکی از انتخاب سهامی است که اصلاح قیمتی کمتری نسبت به سایر سهام دارند و ارتباط تغییرات قیمتی آن‌ها نیز حداقل شده است. برای تحقیقات آتی در این زمینه پیشنهاد می‌شود از روش‌های تقریبی شامل روش‌های حل ابتکاری و فراابتکاری برای بهینه‌سازی و اندازه­گیری سنجه ریسک ارزش در معرض خطر آنتروپیک استفاده شود.

کلیدواژه‌ها

عنوان مقاله [English]

Development of a bi-objective multi-period portfolio selection model with consideration of risk indices

نویسندگان [English]

  • S. Farid Mousavi 1
  • kaveh khalili 2
  • Afshin Jalilzadeh Aghdam 3
  • Arezoo Gazori-Nishabori 4
1 Assistant Professor, Department of Operations Management and Information Technology, Faculty of Management, Khwarazmi University, Tehran, Iran
2 Associate Professor, Department of Industrial Engineering, Faculty of Industrial Engineering, Islamic Azad University, South Tehran Branch, Tehran, Iran
3 Master's degree student, Department of Industrial Engineering, Faculty of Industrial Engineering, Islamic Azad University, South Tehran Branch, Tehran, Iran
4 PhD student in Industrial Engineering, Department of Industrial Engineering, Faculty of Industrial Engineering, Islamic Azad University, South Tehran Branch, Tehran, Iran
چکیده [English]

The issue of research is modeling the stock portfolio in capital market considering the importance for investors to participate in liquidity transfers for industrial development in the country. In order to select high-returned stocks and aiming for investors to have higher returns than risk-free interest rates, there should be indicators for measuring the investment risk and minimizing it in order to achieve an optimal solution by balancing the investor’s risk and minimum expected return should be considered. In the implementation of this research, we use of coherence risk measures such as conditional value at risk and value at risk taking into account the covariance of the price of stocks to minimize the risk in each stock and the risk between stocks. Implementing the model of this research, we two definite and fuzzy approaches and using a Stochastic Chance Constraint Programming technique to definite the probabilistic constraint that states the relationship between the two risk indicators mentioned, as well as the Goal Programming solution method approach to solve the bi-objective model has been done. Models made in lingo software. The results suggest the selection of stocks that have a lower price modification than other stocks, and their price changes are minimized. For future researches in this subject, it is suggested that approximate methods include heuristics and meta-heuristics methods to optimization and measuring the entropic value at risk indicator to be used.

کلیدواژه‌ها [English]

  • Multi-period stock portfolio
  • Bi-objective model
  • Risk indices

مراجع

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پژوهش های نوین در تصمیم گیری
دوره 7، شماره 3
مهر 1401
صفحه 119-138

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