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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 | ||
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