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Portfolio Optimization with Minimum Average Absolute Deviations of Cross- efficiency | ||
| Industrial Management Journal | ||
| مقاله 4، دوره 9، شماره 3، 2017، صفحه 475-496 اصل مقاله (377.27 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/imj.2018.241834.1007312 | ||
| نویسندگان | ||
| Aramaghan Alipour Jorshari1؛ keikhosro Yakideh* ؛ Gholamreza Mahfoozi2 | ||
| 11. MSc Management, University of Guilan, Rasht- Iran | ||
| 2Assistant Professor of Management, University of Guilan, Rasht- Iran | ||
| چکیده | ||
| Investing in the stock market has always been a key issue that how liquid assets are specialized among stocks of the companies to meet the interests of the investor. This research is tried to help investors to choose portfolio optimization more effectively by offering two new approaches .The approach of using cross-efficiency table instead of stock return is presented as the basis to solve the model of the minimum mean of absolute deviations from the average, in which financial indicators were used as initial data to form the portfolio. Another approach is a two-stage algorithm in which the requirement for segmentation of the market to various industries has been considered when using financial indicators. Finally, sharp criteria shows that there is a significant difference between the proposed approaches and the current methods. The results show that these two approaches are more suitable than similar ones. | ||
| کلیدواژه‌ها | ||
| Cross efficiency؛ Minimum average absolute deviations؛ Portfolio؛ RAM model؛ Sharp criteria | ||
| مراجع | ||
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