بررسی اثر انتخاب دوره مطالعه بر حل بهینه‌سازی سبد سهام بر اساس معیار متفاوت ریسک با استفاده از الگوریتم‌های فرا ابتکاری

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری مدیریت صنعتی – مالی، گروه مدیریت صنعتی، واحد تهران شمال، دانشگاه آزاد اسلامی، تهران، ایران.

2 استاد، گروه مدیریت مالی و بیمه، دانشگاه تهران، تهران، ایران.

3 دانشیار، گروه ریاضی کاربردی، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.

چکیده

نوسان بازدهی سهام در بازار سرمایه در دوره‌های متفاوت، قابل‌ملاحظه بوده و انتخاب دوره مطالعه اهمیت بسزایی در حل مسأله بهینه‌سازی سبد سهام دارد. ازاین‌رو، این پژوهش به مسأله بهینه‌سازی سبد سهام بر اساس مدل میانگین- واریانس و مدل میانگین- درصد دارایی در معرض ریسک که معیار ارزش در معرض ریسک را از منظر دیگری موردبررسی قرار داده، پرداخته و اقدام به حل آن با استفاده از الگوریتم‌های چندهدفه MOABC و NSGA II، در سه دوره مطالعه متفاوت 98-1396، 98-1393 و 98-1391 در بورس اوراق بهادار تهران، نموده است. همچنین ضمن تجزیه‌وتحلیل نتایج، دوره‌های مختلف ازلحاظ مطلوبیت سبدهای سهام پیشنهادی و کیفیت داده‌ها، موردبررسی قرارگرفته و کارآمدترین دوره انتخاب ‌شده است. در ادامه به‌منظور اطمینان از نتایج به‌دست‌آمده، راه‌حل‌های ارائه‌شده حاصل از حل مدل‌های موردمطالعه با استفاده از الگوریتم‌های مورداستفاده در هریک از دوره‌های موردبررسی، به‌صورت مستقل و بر اساس یک دوره ثابت مورد تجزیه‌وتحلیل و مقایسه قرار گرفت. نتایج این پژوهش حاکی از آن است که انتخاب دوره مطالعه بر کیفیت راه‌حل‌های ارائه‌شده حاصل از حل مسأله بهینه‌سازی سبد سهام تأثیر بسزایی داشته و هرچقدر طول دوره مطالعه بیشتر بوده و میانگین و واریانس بازدهی سهام شرکت‌های موردبررسی در دوره مذکور از نوسان کمتری برخوردار باشد، دوره انتخابی اطمینان‌بخش‌تر بوده و حل مسأله بهینه‌سازی سبد سهام از مطلوبیت بالاتری برخوردار است.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the Effect of Study Period Selection on Solving Portfolio Optimization Based on Different Risk Criteria Using Meta-Heuristic Algorithms

نویسندگان [English]

  • Reza Aghamohammadi 1
  • Reza Tehrani 2
  • Maryam Khademi 3
1 Ph.D. Candidate in Industrial Management - financial, Department of Industrial Management, Tehran North Branch, Islamic Azad University, Tehran, Iran.
2 Prof., Department of Financial Management and Insurance, University of Tehran, Tehran, Iran.
3 Associate Prof., Department of Applied Mathematics, Tehran South Branch, Islamic Azad University, Tehran, Iran.
چکیده [English]

The fluctuation of stock returns in the capital market in different periods is significant and the choice of the study period is very important in solving the stock portfolio optimization problem. hence, in this study, we solved the stock portfolio optimization problem based on the mean-variance model and the mean-percentage of Value at Risk model, which examines the VaR criterion from another perspective. for this purpose, we selected three different study periods in 1393-1398, 1396-98, and 1391-98 in Tehran Stock Exchange as study periods, and used NSGA II and MOABC algorithms. Then while analyzing different periods in terms of the desirability of the proposed portfolios and data quality, we selected the most efficient period. In order to ensure the results, we compared the proposed solutions resulting from solving the studied models were analyzed using the algorithms used in each of the studied periods, independently and also a fixed period. The results of this study indicate that the selection of the study period has a significant effect on the quality of the proposed solutions resulting from solving the portfolio optimization problem. The longer the study period and the less fluctuating the average and variance of stock returns of the companies under review in the said period, the more reliable the selected period is and the higher the desirability of solving the stock portfolio optimization problem.

کلیدواژه‌ها [English]

  • Portfolio Optimization
  • Value at Risk
  • MOABC algorithm
  • NSGAII algorithm

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چشم انداز مدیریت مالی
دوره 12، شماره 37
فروردین 1401
صفحه 95-122

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