بهینه‎سازی سبد سهام با تلفیق کارایی ‌متقاطع و نظریۀ بازی‎ها

نوع مقاله: مقاله علمی پژوهشی

نویسندگان

1 کارشناس ارشد مدیریت صنعتی، دانشکدۀ ادبیات و علوم انسانی، دانشگاه گیلان، رشت، ایران

2 استادیار گروه مدیریت، دانشکدۀ ادبیات و علوم انسانی، دانشگاه گیلان، رشت، ایران

چکیده

­مسئلۀ بهینه­سازی سبد سهام، یکی از مهم‎ترین مسائل سرمایه‎گذاری است. اغلب مدل­های ریاضی که برای حل این مسئله ارائه شده‎اند، بر مبنای سوابق بازده سهم‎‌ها به حل مسئله پرداخته‎اند. به تازگی، استفادۀ کارایی متقاطع حاصل از مدل­های تحلیل پوششی داده­ها به­جای سوابق بازده، در کانون توجه قرار گرفته است. در این پژوهش جدول کارایی متقاطع که مجموعۀ نشانگرهایی از وضعیت­ هر شرکت در شرایط محتمل آینده است، به­عنوان جدول بازده در یک بازی دو نفرۀ جمع صفر بین سرمایه­گذار و بازار در نظر گرفته می‌شود. در این بازی فرض می­شود سرمایه­گذار قادر است شرکت مد­نظر را برای سرمایه‎گذاری برگزیند و بازار می‎تواند وضعیت را به­نفع هر یک از شرکت­ها که خواست، برگرداند. فرض جمع صفر، یک تقابل بین سرمایه­گذار و بازار را تداعی می‌کند که مناسب روحیۀ احتیاط در برابر بازار است­. سبد بهینۀ سهام را احتمالات بهینۀ حاصل از حل مدل بازی برای انتخاب سیاست بهینۀ خریدار مشخص می‌کند. نتایج نشان می­دهد عملکرد روش پیشنهادی در مقایسه با عملکرد سبد بازار قابل قبول است.

کلیدواژه‌ها


عنوان مقاله [English]

Portfolio optimization by synthesis of cross efficiency and Game theory

نویسندگان [English]

  • Mahshid Goodarzi 1
  • keikhosro Yakideh 2
  • Gholamreza Mahfoozi 2
1 MSc of Industrial Management, University of Guilan, Rasht- Iran
2 Assistant Prof. of Management, University of Guilan, Rasht- Iran
چکیده [English]

Portfolio optimization problem is one of the most important investment problems. Most of the mathematical models, presented for solving this problem are based on historical returns of stocks. Utilizing cross efficiencies, calculated by data envelopment analysis models, instead of historical returns, has attracted considerations just recently. In this paper table of cross efficiencies that is a collection of indicators about future possible state of each corporation, is considered as a return matrix of a zero- sum game between the investor and the market. It is assumed in this double game that the Investors can choose the corporation to invest and market can turn the conditions in favor of each of the corporations. Assuming a zero-sum reflects a confrontation between investors and the market which is right for spirit of caution against market. Optimal portfolio determines by the optimum possibilities that is achieved through solving the game in favor of the investor. Results show that the Performance of proposed method is acceptable in compare with market portfolio.

کلیدواژه‌ها [English]

  • Portfolio optimization
  • Cross efficiency
  • Game theory
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