پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 158 |
| تعداد شمارهها | 6,230 |
| تعداد مقالات | 67,765 |
| تعداد مشاهده مقاله | 115,209,010 |
| تعداد دریافت فایل اصل مقاله | 89,957,063 |
Construction of Fundamental and Technical Portfolio using a Multivariate Approach | ||
| Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) | ||
| دوره 16، شماره 4، دی 2023، صفحه 1011-1023 اصل مقاله (550 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/ijms.2022.330013.674760 | ||
| نویسندگان | ||
| Somaei Danesh Asgari؛ Emran Mohammadi* | ||
| Department of Industrial Engineering, Iran University of Science & Technology,Tehran, Iran | ||
| چکیده | ||
| This paper applied the Measure of Attractiveness of Investment (MAI) as a representative indicator to enable investors to choose stocks according to attractiveness measured by some financial ratios of companies. It is integrated with as the inherent risk of the market to construct a portfolio accounting for the companies’ fundamental strength and the investment’s long-term character. One may not know what the future investment environment will look like, but one can be better prepared for whatever comes through taking into account the uncertainty. The underlying key contribution of this study is related to the integration of MAI and to construct a portfolio based on the companies’ fundamental ratios and attractiveness of investments’ long-term measures under uncertain conditions. To overcome the uncertainty, the Bertism and Sim algorithm is utilized which has some advantages such as linearity and the possibility of the adjusting protection level regarding the uncertainty degree. The empirical example shows that the proposed approach can be well implemented to deal with portfolio selection in uncertain conditions. | ||
| کلیدواژهها | ||
| Portfolio Optimization؛ Fundamental Analysis؛ Systematic Risk؛ Measure of Attractiveness of Investment (MAI)؛ Robust Optimization (RO) | ||
| مراجع | ||
|
AlMahdi, S. (2015). Smart beta portfolio optimization. Journal of Mathematical Finance, 5(02), 202.
Azizi, Z., Abdolvand, N., Ghalibaf Asl, H., & Rajaee Harandi, S. (2021). The Impact of Persian News on Stock Returns through Text Mining Techniques. Iranian Journal of Management Studies.
Ben-Tal, A., & Nemirovski, A. (1998). Robust convex optimization. Mathematics of operations research, 23(4), 769-805.
Ben-Tal, A., Margalit, T., & Nemirovski, A. (2000). Robust modeling of multi-stage portfolio problems. In High performance optimization (pp. 303-328). Springer, Boston, MA.
Bertsimas, D., & Pachamanova, D. (2008). Robust multiperiod portfolio management in the presence of transaction costs. Computers & Operations Research, 35(1), 3-17.
Bertsimas, D., & Sim, M. (2004). The price of robustness. Operations research, 52(1), 35-53.
Blume, M. E. (1975). Betas and their regression tendencies. The Journal of Finance, 30(3), 785-795.
DeMiguel, V., & Nogales, F. J. (2009). Portfolio selection with robust estimation. Operations Research, 57(3), 560-577.
Dinandra, R. S., Hertono, G. F., & Handari, B. D. (2019, November). Implementation of density-based spatial clustering of application with noise and genetic algorithm in portfolio optimization with constraint. In AIP Conference Proceedings (Vol. 2168, No. 1, p. 020026). AIP Publishing LLC.
Erdogan, E., Goldfarb, D., & Iyengar, G. (2006). CORC Technical Report TR-2004-11 Robust Active Portfolio Management.
Fabozzi, F. J., Huang, D., & Zhou, G. (2010). Robust portfolios: contributions from operations research and finance. Annals of operations research, 176(1), 191-220.
Fernandez, E., Navarro, J., Solares, E., & Coello, C. C. (2019). A novel approach to select the best portfolio considering the preferences of the decision maker. Swarm and Evolutionary Computation, 46, 140-153.
Gabrel, V., Murat, C., & Thiele, A. (2014). Recent advances in robust optimization: An overview. European journal of operational research, 235(3), 471-483.
Ghahtarani, A., & Najafi, A. A. (2013). Robust goal programming for multi-objective portfolio selection problem. Economic Modelling, 33, 588-592.
Ghahtarani, A., & Najafi, A. A. (2018). ROBUST OPTIMIZATION IN PORTFOLIO SELECTION BY m-MAD MODEL APPROACH. Economic Computation & Economic Cybernetics Studies & Research, 52(1).
Ghaoui, L. E., Oks, M., & Oustry, F. (2003). Worst-case value-at-risk and robust portfolio optimization: A conic programming approach. Operations research, 51(4), 543-556.
Goldfarb, D., & Iyengar, G. (2003). Robust convex quadratically constrained programs. Mathematical Programming, 97(3), 495-515.
Goli, A., Zare, H. K., Tavakkoli-Moghaddam, R., & Sadeghieh, A. (2019a). Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm. Numerical Algebra, Control & Optimization, 9(2), 187.
Goli, A., Zare, H. K., Tavakkoli-Moghaddam, R., & Sadeghieh, A. (2019b). Hybrid artificial intelligence and robust optimization for a multi-objective product portfolio problem Case study: The dairy products industry. Computers & industrial engineering, 137, 106090.
Goudarzi, S., Jafari, M. J., & Afsar, A. (2017). A hybrid model for portfolio optimization based on stock clustering and different investment strategies. International Journal of Economics and Financial Issues, 7(3), 602-608.
Gregory, C., Darby-Dowman, K., & Mitra, G. (2011). Robust optimization and portfolio selection: The cost of robustness. European Journal of Operational Research, 212(2), 417-428.
Hanafizadeh, P., & SEYFI, A. (2006). Tuning the unified robust model of uncertain linear programs: An application to portfolio selection.
Kawas, B., & Thiele, A. (2011). A log-robust optimization approach to portfolio management. OR Spectrum, 33(1), 207-233.
Khodamipour, A., & Amiri, E. (2020). An Analysis of the Stock Price Impact on the TSE and Accrual Management. Iranian Journal of Management Studies, 13(1), 1-21.
Kim, W. C., Kim, J. H., Mulvey, J. M., & Fabozzi, F. J. (2015). Focusing on the worst state for robust investing. International Review of Financial Analysis, 39, 19-31.
Kim, W. C., Kim, M. J., Kim, J. H., & Fabozzi, F. J. (2014). Robust portfolios that do not tilt factor exposure. European Journal of Operational Research, 234(2), 411-421.
Klemkosky, R. C., & Martin, J. D. (1975). The adjustment of beta forecasts. The Journal of Finance, 30(4), 1123-1128.
Kliber, P. (2019). An analytical method for construction of a fundamental portfolio. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 63(2), 25-36.
Lee, C. F., Finnerty, J. E., & Wort, D. H. (2010). Capital asset pricing model and beta forecasting. In Handbook of quantitative finance and risk management (pp. 93-109). Springer, Boston, MA.
Lee, C. F., Newbold, P., Finnerty, J. E., & Chu, C. C. (1986). On Accounting‐Based, Market‐Based and Composite‐Based Beta Predictions: Methods and Implications. Financial Review, 21(1), 51-68.
Li, Y., Zhu, S., Li, D., & Li, D. (2013). Active allocation of systematic risk and control of risk sensitivity in portfolio optimization. European Journal of Operational Research, 228(3), 556-570.
Li, Z., Ding, R., & Floudas, C. A. (2011). A comparative theoretical and computational study on robust counterpart optimization: I. Robust linear optimization and robust mixed integer linear optimization. Industrial & engineering chemistry research, 50(18), 10567-10603.
Macedo, L. L., Godinho, P., & Alves, M. J. (2017). Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules. Expert Systems with Applications, 79, 33-43.
Maillet, B., Tokpavi, S., & Vaucher, B. (2015). Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. European Journal of Operational Research, 244(1), 289-299.
Mansourfar, G., Didar, H., & Jodatnia, S. (2017). International Portfolio Diversification at Industry Level within South-East Asian Stock Markets. Iranian Journal of Management Studies, 10(1).
Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
Moon, Y., & Yao, T. (2011). A robust mean absolute deviation model for portfolio optimization. Computers & Operations Research, 38(9), 1251-1258.
Nowrouzi, A., Panahi, M., Ghaffarzadeh, H., & Ataei, A. (2019). Optimizing Iran's natural gas export portfolio by presenting a conceptual framework for non-systematic risk based on portfolio theory. Energy Strategy Reviews, 26, 100403.
Pysarenko, S., Alexeev, V., & Tapon, F. (2019). Predictive blends: Fundamental Indexing meets Markowitz. Journal of Banking & Finance, 100, 28-42.
Quaranta, A. G., & Zaffaroni, A. (2008). Robust optimization of conditional value at risk and portfolio selection. Journal of Banking & Finance, 32(10), 2046-2056.
Rahmani, D. (2019). A two-stage robust model for portfolio selection by using goal programming. Journal of Industrial and Systems Engineering, 12(1), 1-17.
Rutkowska-Ziarko, A. (2013). Fundamental portfolio construction based on Mahalanobis distance. In Algorithms from and for Nature and Life (pp. 417-426). Springer, Cham.
Rutkowska-Ziarko, A., & Garsztka, P. (2014). Diversification of risk of a fundamental portfolio based on semi-variance. The Poznan University of Economics Review, 14(2), 80.
Safa, M., & Panahian, H. (2018). P/E modeling and prediction of firms listed on the Tehran stock exchange; a new approach to harmony search algorithm and neural network hybridization. Iranian Journal of Management Studies, 11(4), 769-793.
Shalit, H. (2020). Using the Shapley value of stocks as systematic risk. The Journal of Risk Finance.
Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management science, 9(2), 277-293.
Soofifard, R., & Bafruei, M. (2017). An optimal model for project risk response portfolio selection (P2RPS). Iranian Journal of Management Studies (IJMS) Vol, 9.
Soyster, A. L. (1973). Convex programming with set-inclusive constraints and applications to inexact linear programming. Operations research, 21(5), 1154-1157.
Soyster, A. L. (1973). Convex programming with set-inclusive constraints and applications to inexact linear programming. Operations research, 21(5), 1154-1157.
Staszak, P. (2017). eksperymentalna ocena efektywności portfela fundamentalnego dla spółek z indeksu wig20 za lata 2004–2016. Metody Ilościowe w Badaniach Ekonomicznych, 18(4), 672-678.
Tarczyński, W. (1995). O pewnym sposobie wyznaczania składu portfela papierów wartościowych. Przegląd Statystyczny, 42(1), 91-106.
Tarczyński, W., & Łuniewska, M. (2005). Stability of selected linear ranking methods—an attempt of evaluation for the Polish stock market. In Innovations in Classification, Data Science, and Information Systems (pp. 523-532). Springer, Berlin, Heidelberg.
Tarczyński, W., & Tarczyńska-Łuniewska, M. (2018). The construction of fundamental portfolio with the use of multivariate approach. Procedia computer science, 126, 2085-2096.
Verderame, P. M., & Floudas, C. A. (2011). Multisite planning under demand and transportation time uncertainty: Robust optimization and conditional value-at-risk frameworks. Industrial & Engineering Chemistry Research, 50(9), 4959-4982.
Wang, R. (2011, December). Stock selection based on data clustering method. In 2011 seventh international conference on computational intelligence and security (pp. 1542-1545). IEEE.
Xidonas, P., Hassapis, C., Soulis, J., & Samitas, A. (2017). Robust minimum variance portfolio optimization modelling under scenario uncertainty. Economic Modelling, 64, 60-71.
Yuan, F. C., & Lee, C. H. (2015). Using least square support vector regression with genetic algorithm to forecast beta systematic risk. Journal of computational science, 11, 26-33.
Zhu, S., Li, D., & Sun, X. (2010). Portfolio selection with marginal risk control. Journal of Computational Finance, 14(1), 3.
| ||
|
آمار تعداد مشاهده مقاله: 331 تعداد دریافت فایل اصل مقاله: 416 |
||