Presenting a comparative model of stock investment portfolio optimization based on Markowitz model
- سال انتشار: 1402
- محل انتشار: مجله ریاضیات و مدل سازی در امور مالی، دوره: 2، شماره: 2
- کد COI اختصاصی: JR_JMMF-2-2_008
- زبان مقاله: انگلیسی
- تعداد مشاهده: 262
نویسندگان
Department of Statistics, Islamic Azad University, Tehran North Branch
Department of Statistics, Islamic Azad University, Tehran North Branch
Department of Statistics, Islamic Azad University, Tehran North Branch
چکیده
The investment process is related to how investors act in deciding on the types of tradable securities to invest in and the amount and timing. Various methods have been proposed for the investment process, but the lack of rapid computational methods for determining investment policies in securities analysis makes performance appraisal a long-term challenge. An approach to the investment process consists of two parts. Major is securities analysis and portfolio management. Securities analysis involves estimating the benefits of each investment, while portfolio management involves analyzing the composition of investments and managing and maintaining a set of investments. Classical data envelopment analysis (DEA) models are recognized as accurate for rating and measuring efficient sample performance. Unluckily, this perspective often brings us to get overwhelmed when it's time to start a project. When it comes to limiting theory, the problem of efficient sample selection using a DEA models to test the performance of the PE portfolio is a real discontinuous boundary and concave has not been successful since ۲۰۱۱. In order to solve this problem, we recommend a DEA method divided into business units based on the Markowitz model. A search algorithm is used to introduce to business units and prove their validity. In any business unit, the boundary is continuous and concave. Therefore, DEA models could be applied as PE evaluation.کلیدواژه ها
Data Envelopment Analysis, performance measurement, Portfolio Optimization, Stocks, securitiesاطلاعات بیشتر در مورد COI
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