توسعه‌ی مدل استوار بازنگری سبد سرمایه‌گذاری با درنظرگرفتن عوامل بنیادی

وفائی خواه, محمدحسین; نجفی, امیرعباس

doi:10.24200/j65.2024.61314.2330

توسعه‌ی مدل استوار بازنگری سبد سرمایه‌گذاری با درنظرگرفتن عوامل بنیادی

نوع مقاله : یادداشت فنی

نویسندگان

محمدحسین وفائی خواه

امیرعباس نجفی

دانشکده‌ی مهندسی صنایع، دانشگاه صنعتی خواجه نصیرالدین طوسی، تهران.

10.24200/j65.2024.61314.2330

چکیده

بازنگری سبد سرمایه‌گذاری از مهم‌ترین بخش‌های مدیریت سرمایه‌گذاری است. بعد از تشکیل سبد سرمایه‌گذاری، وضعیت بنیادی شرکت‌ها در گذر زمان به دلایلی، نظیر: تغییر وضعیت اقتصادی کشور و تغییر سیاست‌های مربوط به خرید، تولید و فروش محصولات شرکت ثابت نمی‌ماند. در پژوهش حاضر، مدل چندهدفه‌ی بازنگری سبد سرمایه‌گذاری با درنظرگرفتن عوامل بنیادی سهام ارائه‌ شده است. با توجه به درنظرگرفتن چندین معیار برای اهداف، برای حل مدل از برنامه‌ریزی آرمانی فازی چندگزینشی استفاده شده ‌است. همچنین، جهت تطابق بیشتر مدل با واقعیت، عدم‌قطعیت در پارامترهای مدل لحاظ و مدل با استفاده از رویکرد بهینه‌سازی استوار بازنویسی شده است. در انتها، با اتخاذ راهبرد بازنگری بیمه‌کردن سبد با نسبت ثابت و رعایت حد ضرر تعیین‌شده توسط سرمایه‌گذاران، مدل ارائه‌شده با استفاده از داده‌های واقعی بورس اوراق بهادار تهران حل و نتایج آن بررسی شده ‌است.

کلیدواژه‌ها

مدیریت سرمایه‌گذاری

تحلیل بنیادی

برنامه‌ریزی آرمانی فازی چندگزینشی

بهینه‌سازی استوار

موضوعات

مدل سازی در شرایط عدم قطعیت

عنوان مقاله English

Developing a robust portfolio rebalancing model by considering fundamental factors

نویسندگان English

Mohammadhossein Vafaeikhah

Amir Abbas Najafi

Faculty of Industrial Engineering, K. N. Toosi University of Technology

چکیده English

Portfolio rebalancing is one of the most important parts of investment management. After forming a portfolio by an investor, due to changing prices in the market, the portfolio value deviates from its initial amount. Therefore, the investor must rebalance the investment portfolio to achieve their goal. On the other hand, the fundamental factors of companies do not remain constant over time due to reasons such as changes in the country's economic situation and changes in policies related to the purchase, production, and sale of the company’s products. Furthermore, to select the best stocks that are prone to grow, it is essential to pay attention to the fundamental factors of companies by examining important financial ratios, including net profit ratio, return on assets (ROA), return on equity ratio (ROE), debt ratio (DR) and other ratios. In this research, a multi-objective model for the portfolio rebalancing problem is developed to consider the fundamental factors of stocks. To include the fundamental factors to the model, the TOPSIS technique is applied. In addition, due to considering several goals in the model, multi-choice fuzzy ideal programming is used to solve the model. Also, due to the variety of investors' expectations and the uncertainty of some parameters, including the ratio P/E and expected stock return, the uncertainty in the parameters of the model has been taken into account and the model is formulated using Bertsimas and Sim's approach from robust optimization approaches. In addition, by adopting Constant Proportion Portfolio Insurance strategy (CPPI) and maintaining the stop loss in specific time periods such as three months, the developed model is solved using the real data of the Tehran Stock Exchange and its results have been analyzed. In summary, the results show that the return and the Sharp ratio of the proposed portfolio are better than the traditional models.

کلیدواژه‌ها English

Portfolio Management

Fundamental Analysis

Weighted-additive Fuzzy Multi Choice Goal Programming

Robust Optimization

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