دانشگاه الزهرا

 News

 Statistics

Number of Journals25
Number of Issues918
Number of Articles7,565
Article View12,275,710
PDF Download8,681,655
Ramooz, N., Akbari َAgmashhadi, Z., Atefatdoost, A. (2020). Optimal portfolio selection using the compromise-programming model in the tehran stock exchange. Glory of Art (Jelve-y Honar) Alzahra Scientific Quarterly Journal, 8(1), 21-37. doi: 10.22051/jfm.2019.14649.1322
Najme Ramooz; Zahra Akbari َAgmashhadi; Alireza Atefatdoost. "Optimal portfolio selection using the compromise-programming model in the tehran stock exchange". Glory of Art (Jelve-y Honar) Alzahra Scientific Quarterly Journal, 8, 1, 2020, 21-37. doi: 10.22051/jfm.2019.14649.1322
Ramooz, N., Akbari َAgmashhadi, Z., Atefatdoost, A. (2020). 'Optimal portfolio selection using the compromise-programming model in the tehran stock exchange', Glory of Art (Jelve-y Honar) Alzahra Scientific Quarterly Journal, 8(1), pp. 21-37. doi: 10.22051/jfm.2019.14649.1322
Ramooz, N., Akbari َAgmashhadi, Z., Atefatdoost, A. Optimal portfolio selection using the compromise-programming model in the tehran stock exchange. Glory of Art (Jelve-y Honar) Alzahra Scientific Quarterly Journal, 2020; 8(1): 21-37. doi: 10.22051/jfm.2019.14649.1322

Optimal portfolio selection using the compromise-programming model in the tehran stock exchange

راهبرد مدیریت مالی
Article 4, Volume 8, Issue 1 - Serial Number 28, April 2020, Pages 21-37    PDF (1.36 M)
Document Type: Research Paper
DOI: 10.22051/jfm.2019.14649.1322
Authors
Najme Ramooz* 1; Zahra Akbari َAgmashhadi2; Alireza Atefatdoost3
1Assistant Professor of Management Faculty of Qom University
2Master of Financial Management, University of Qom
3Assistant Professor of Management Faculty, Shahab Danesh University
Abstract
Various models on how investors choose the most optimum portfolio have been introduced. Majority of such models complete the process of choosing by a set of the available portfolios provided
On the efficient frontier. At best, by extracting utility function based on the investors’ preference through interactive dialogues, then the optimum portfolio according the financial situations and mental and behavioral characteristics was determined. Notably, in practice, this is very difficult for the possible differences in the utility functions.  These problems distinguish the role of the compromise-programming model and the unique abilities of compromise set as one of the available models in the multi-criteria decision-making in choosing optimal portfolio. In current research, 20 active companies in Tehran exchange market during 2015-2018 period were selected. After determining the sum of the absolute difference of safety and profitability index of optimizing investing utility functions with direct method and its comparison with the results of compromise set method, the research hypothesis accepted.
Keywords
Optimum Portfolio; Compromise-Programming Model; Compromise set
References

 

        -            آذر، عادل ؛ راموز، نجمه و عاطفت دوست، علیرضا (1391)." کاربرد روش تخمین مجموعه ی غیر مرجح در انتخاب پرتفوی بهینه (مطالعه ی موردی: بورس اوراق بهادار تهران)". تحقیقات مالی، دوره 14، شماره2 14-1.

        -            امیری، مقصود، محبوب قدسی، مهسا.(1394) " مدل برنامه ریزی خطی فازی برای مساله انتخاب سبد سهام بهینه".  مهندسی مالی و مدیریت اوراق بهادار (مدیریت پرتفوی، دوره 6، شمارة23، 118-105.

        -            راعی، رضا و پویانفر، احمد(1393). مدیریت سرمایه‌گذاری پیشرفته، سازمان مطالعه و تدوین کتب علوم انسانی دانشگاهها، چاپ نهم.

-      Amilon, Henrik.(2001). Comparison of mean-variance and exact utility maximization in stock portfolio selection. Lund University.

-      Amiri,M.and Mahboob Ghodsi,M(2015). «Fuzzy Linear Programming Model Optimum Portfolio Selection Problem”. Quarterly Financial Engineering and Securities Management journal. Volume 6, No 23, summer 2015, Page 105-118 [In Persian]

-      Azar, A.and Ramouz,N.Atefatdoost,A.(2014). « The Application of Non-inferior Set Estimation (NISE) Method in Optimum Portfolio Selection (Case Study: Tehran Security Exchange). Financial Research Journal 1, Volume 14, Issue 2, Winter 2014, Page 1-14 [In Persian]

-      Ballestero, E. (1997). Utility functions: A compromise programming approach to specification and optimization. Journal of Multi‐Criteria Decision Analysis, 6(1), 11-16.

-      Ballestero, E. and D. Plà–Santamaría. (2003)."Portfolio selection on the Madrid exchange: A compromise programming model." International Transactions in Operational Research 10.1: 33-51.

-      Ballestero, Enrique and Romero, Carlos. (1996). "Compromise programming Applied to the portfolio Problem", Journal of the Operational Research Society. Vol. 41, pp. 1378-1386.

-      Ballestero, Enrique, and Carlos Romero. (1991)."A theorem connecting utility function optimization and compromise programming." Operations Research Letters 10.7: 421-427.

-      Ballestero, Enrique, and Carlos Romero.(1993). "Weighting in compromise programming: A theorem on shadow prices." Operations Research Letters13.5:325-329.

-      Ballestero, Enrique, and Carlos Romero.(1994). "Utility optimization when the utility function is virtually unknown." Theory and Decision 37.2: 233-243.

-      Ballestero, Enrique, and David Pla-Santamaria.(2004)."Selecting portfolios for mutual funds." Omega 32.5: 385-394.

-      Ballestero, Enrique.. (1997)."Selecting the CP metric: A risk aversion approach"European Journal of Operational Research 97.3: 593-596.

-      Charnes, A. & W. W. Cooper )1961(. Management Models and Industrial Applications of Linear Programming. John Wiley & Sons, Inc, New York.

-      Chen, Liang-Hsuan, and Lindsay Huang. (2009). "Portfolio optimization of equity mutual funds with fuzzy return rates and risks.." Expert Systems with Applications 36.2: 3720-3727.

-      Cohon, J. L. Church, R. L. & Sheer, D. P. (1979). Generating multiobjective trade‐offs: An algorithm for bicriterion problems. Water Resources Research, 15(5), 1001-1010.

-      Cohon, J. L. Church, R. L. & Sheer, D. P. (1979). Generating multiobjective trade‐offs: An algorithm for bicriterion problems. Water Resources Research, 15(5), 1001-1010.

-      Costa, F. P. & Rehman, T. (2005). Unravelling the rationale ofovergrazing'and stocking rates in the beef production systems of Central Brazil using a bi-criteria compromise programming model. Agricultural Systems, 83(3), 277-295.

-      Estrada, Javier. (2004). "Mean-Semivariance Behaviour: An Alternative Behavioural Model.." Journal of Emerging Market Finance 3.3: 231-248.

-      Hanna, Sherman D. and Peng Chen. (1997)."Subjective and objective risk tolerance: Implications for optimal portfolios.." Financial Counseling and Planning .

-      Jehle, Geoffrey Alexander. (2011). Advanced microeconomic theory. Pearson Education India.

-      Jones, Charles P. (2000)."Investment: Analysis and Management, New York: John Willey and Sons."

-      Kallberg, J. G. & Ziemba, W. T. (1983). Comparison of alternative utility functions in portfolio selection problems. Management Science, 29(11), 1257-1276.

-      Kroll, Y. Levy, H. & Markowitz, H. M. (1984). Mean‐variance versus direct utility maximization. The Journal of Finance, 39(1), 47-61.

-      LeRoy, S. F. & Werner, J. (2014). Principles of financial economics. Cambridge University Press.

-      LeRoy, Stephen F. and Jan Werner. (2014). Principles of financial economics. Cambridge University Press,

-      Markowitz, Harry. (1952). "Portfolio selection." The journal of finance 7.1: 77-91.

-      Prodanovic, Predrag. (2001). "Fuzzy set ranking methods and multiple expert decision making". Department of Civil and Environmental Engineering, The University of Western Ontario.

-      Raei,R.and pouyanfar,A. «Advanced Investment Management(2014).samt press. [In Persian]

-      Van Praag, Bernard MS, and Adam S. Booij. (2003). "Risk aversion and the subjective time discount rate: A joint approach.".

-      Yu, Po-Lung. (1973). "A class of solutions for group decision problems." Management Science 19.8: 936-946.

Statistics
Article View: 924
PDF Download: 1,183


Journal Management System. Powered by Sinaweb