بررسی تأثیر تنوع‌بخشی پرتفوی بر ریسک نامطلوب در بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 * عضو هیئت علمی دانشگاه پیام نور.

2 ** عضو هیئت علمی دانشگاه الزهرا.

3 *** عضو هیئت علمی دانشگاه علوم اقتصادی.

چکیده

     تنوع‌بخشی یکی از ابزارهای مدیریت ریسک است و مزیت مهم آن این است که با افزایش تنوع‌بخشی، ریسک سیستماتیک بدون کاهش سطح بازدهی تقلیل می­یابد؛ اما پرتفوهای بسیار متنوع شده معایبی از جمله هزینه­های معاملاتی، نگهداری و نظارتی دارند. از طرفی معیارهای سنتی ریسک به دلیل عدم تمایز میان نوسانات مطلوب و نامطلوب بازده معیارهای مناسبی برای اندازه‌گیری ریسک و انعکاس آنچه ذهن انسان از مفهوم ریسک درک می‌کند، نیست؛ اما معیارهای ریسک نامطلوب، نوسانات نامطلوب بازده را هدف سرمایه‌گذار قرار می‌دهد. پژوهش حاضر با هدف تعیین رابطه بین تنوع‌بخشی و بخش نامطلوب ریسک، به­بررسی این رابطه در بازار بورس اوراق بهادار تهران پرداخته است. داده‌های مورد استفاده مربوط به سری زمانی بازده روزانه 104 شرکت در بازه زمانی 15/1/1386 تا 31/6/1391 است. پرتفوهایی با تعداد 1 تا 20 سهم براساس استراتژی ساده به­صورت روزانه ایجاد شد، معیارهای ریسک نامطلوب همچون نیم‌ انحراف معیار زیر هدف، ارزش در معرض ریسک، ریزش مورد انتظار و گشتاور جزئی پایینی برای هر یک از پرتفوها محاسبه شد. نتایج این پژوهش نشان می­دهد که تنوع‌بخشی و ریسک نامطلوب رابطه معنادار منفی دارند و معیار ریزش مورد انتظار، معیار مناسب­تری برای محاسبه ریسک به­شمار می­رود.

کلیدواژه‌ها

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