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بهینهسازی سبد سهام با تلفیق کارایی متقاطع و نظریۀ بازی‌ها | ||
| مدیریت صنعتی | ||
| مقاله 8، دوره 8، شماره 4، اسفند 1395، صفحه 685-706 اصل مقاله (415.77 K) | ||
| نوع مقاله: مقاله علمی پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22059/imj.2017.60163 | ||
| نویسندگان | ||
| مهشید گودرزی1؛ کیخسرو یاکیده* 2؛ غلامرضا محفوظی2 | ||
| 1کارشناس ارشد مدیریت صنعتی، دانشکدۀ ادبیات و علوم انسانی، دانشگاه گیلان، رشت، ایران | ||
| 2استادیار 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 | ||
| بهینهسازی سبد سهام؛ کارایی متقاطع؛ نظریۀ بازی‌ها | ||
| عنوان مقاله [English] | ||
| Portfolio optimization by synthesis of cross efficiency and Game theory | ||
| نویسندگان [English] | ||
| Mahshid Goodarzi1؛ keikhosro Yakideh2؛ Gholamreza Mahfoozi2 | ||
| 1MSc of Industrial Management, University of Guilan, Rasht- Iran | ||
| 2Assistant 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 | ||
| مراجع | ||
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