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بکارگیری رویکرد تصمیم گیری کلامی و بهینه سازی چندهدفه فازی در انتخاب سبد سهام | ||
| راهبرد مدیریت مالی | ||
| مقاله 10، دوره 11، شماره 1 - شماره پیاپی 40، فروردین 1402، صفحه 211-230 اصل مقاله (510.72 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2019.25913.2074 | ||
| نویسندگان | ||
| سارا بیک جانی1؛ حسین دیده خانی* 2 | ||
| 1دانشجو، گروه مهندسی صنایع، واحد علی آباد کتول، دانشگاه آزاد اسلامی، علی آباد کتول، ایران | ||
| 2استادیار، گروه مهندسی صنایع، واحد علی آباد کتول، دانشگاه آزاد اسلامی، علی آباد کتول، ایران | ||
| چکیده | ||
| در این مقاله به برخی از چالش‌های بهینه‌سازی پرتفوی به‌طور همزمان پرداخته می‌شود. به‌طوری‌که جهت در نظرگرفتن ماهیت چندمعیاره بودن انتخاب سهام و عدم‌قطعیت مرتبط با نرخ بازده دارایی‌ها از مدل برنامه‌ریزی چندهدفه فازی استفاده شد. همچنین با توجه به نقاط ضعف معیارهای ریسک سنتی نظیر واریانس برای اندازه‌گیری ریسک سرمایه‌گذار، معیار ارزش در معرض خطر میانگین به‌عنوان یک معیار ریسک منسجم با رویکرد تئوری اعتبار فازی جایگزین آن‌ها شدند. از طرفی در این پژوهش به‌منظور دخالت‌دادن نظرات و قضاوت‌های ذهنی سرمایه‌گذاران از روش ZAPROS III استفاده و با محاسبه شاخص رسمی کیفیت (FIQ) دیدگاه‌های سرمایه‌گذاران در بهینه‌سازی پرتفوی لحاظ گردید. در طراحی مدل علاوه‌بر محدودیت‌های اصلی، محدودیت‌هایی مانند حداقل و حداکثر تخصیص ثروت به هر دارایی و نیز حداقل و حداکثر تعداد سهام موجود در پرتفوی در نظر گرفته شده است. جهت نمایش قابلیت کاربرد مدل توسعه داده شده از 10 شرکت فعال‌تر پذیرفته شده در بورس اوراق بهادار تهران استفاده شد. نتایج حاصل از اجرای مدل با استفاده از الگوریتم MOPSO نشان داد پرتفوهای پارتو بهینه ایجاد شده از اجرای مدل در مقایسه با پرتفوهای با وزن‌های تصادفی از لحاظ رسیدن به اهداف از پیش‌تعیین شده، عملکرد بهتر و مطلوب‌تری دارند | ||
| کلیدواژه‌ها | ||
| بهینه‌سازی چند هدفه پرتفوی؛ تئوری اعتبار؛ روش ZAPROS III؛ الگوریتم .MOPSO | ||
| عنوان مقاله [English] | ||
| Applying Verbal Decision Making and Multi-objective Fuzzy Optimization Approach in Portfolio Selection | ||
| نویسندگان [English] | ||
| Sara Beykjani1؛ Hosein Didehkhani2 | ||
| 1Student, Department of Industrial Engineering, Aliabad Katul Branch, Islamic Azad University, Aliabad Katul, Iran | ||
| 2Assistant Professor, Department of Industrial Engineering, Aliabad Katul Branch, Islamic Azad University, Aliabad Katul, Iran | ||
| چکیده [English] | ||
| Abstract In this paper, some of the challenges of portfolio optimization are discussed simultaneously. So that the fuzzy multi-objective programming model was used to consider the multi-criteria nature of stock selection and the lack of correlation with the return on assets. Also, due to the weaknesses of traditional risk measures such as variance for risk assessment of the investor, the criterion of value at risk was replaced as a coherent risk criterion with the fuzzy credit theory approach. On the other hand, in this research, ZAPROS III method was used to interfere with investors' subjective opinions and judgments, and by considering the formal index of quality (FIQ), the views of investors in portfolio optimization were considered. In designing the model, in addition to the main constraints, limitations such as the minimum and maximum allocation of wealth to each asset, as well as the minimum and maximum number of stocks in the portfolio are considered. To demonstrate the applicability of the developed model, 10 of the more active companies accepted in Tehran Stock Exchange were used. The results of model implementation using the MOPSO algorithm showed that optimal pareto-optimized models of model execution compared to randomly assigned portfolios have better and more favorable performance in terms of achievement of predetermined goals. | ||
| کلیدواژه‌ها [English] | ||
| Multi-objective Optimization of Portfolio, Credit theory, ZAPROS III Method, MOPSO Algorithm | ||
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