بهينه سازي سبد میانگین واریانس چولگی عملکرد مبتني بر راهبردهای مومنتوم و معکوس
محورهای موضوعی : مدیریت مالی
همایون سلطان زاده
1
,
رضا کیخایی
2
*
,
عبدالمجید عبدالباقی عطاآبادی
3
,
حسین آرمان
4
1 - گروه مديريت، واحد نجف آباد، دانشگاه آزاد اسلامي، نجف آباد، ايران.
2 - گروه ریاضی، دانشگاه مرکز خوانسار، اصفهان، اصفهان، ايران(نويسنده مسئول)
3 - دانشیار گروه مهندسی صنایع، دانشگاه صنعتي، شاهرود، شاهرود، ايران.
4 - گروه مديريت، واحد نجف آباد، دانشگاه آزاد اسلامي، نجف آباد، ايران.
کلید واژه: مدل ميانگين واريانس, چولگي, سبد بهينه, سبد بهينه مومنتوم, سبد بهينه معکوس,
چکیده مقاله :
هدف
در این پژوهش، با استفاده از راهبرد سرمایه‌‌گذاری مومنتوم و معکوس و ترکیب آن با فرمول بهینهسازی مارکوویتز سعی در ایجاد مدل جدیدی شد که در آن همزمان با افزایش بازده، ریسک کاهش یافته با این تفاوت که در این مدل وزن سهامها یکسان در نظر گرفته نشد.
روش‌شناسی
در این پژوهش به‌طور مشخص از روش‌های بهینهسازی میانگین واریانس و چولگی استفاده شد. برای نشان دادن رویکردهای پیشنهادی، از داده‌های جمع‌آوری‌شدۀ ۱۶۰ شرکت پذیرفته‌شده در بورس اوراق بهادار تهران از سال 1393 تا 1401 استفاده شد. از این داده‌ها برای تشکیل و بهینهسازی سبدهای میانگین واریانس چولگی مبتنی بر راهبردهای مومنتوم و معکوس و مقایسۀ عملکرد آن‌ها استفاده شد.
یافته‌ها
نتایج نشان داد راهبرد مومنتوم مبتنی بر چولگی در بهینهسازی سبد، دارای عملکرد و سودآوری بهتری نسبت به دیگر راهبردها است.
اصالت / ارزش‌افزوده علمی
در این مدل وزن سهامها یکسان در نظر گرفته نشد و سرمایهگذار با علم به داشتن اطلاعات دقیقتر نسبت به تشکیل و بهبود سبد سرمایه خود میتواند اقدام نماید
Objective:
This study aims to develop a new model by using momentum and reversal investment strategies combined with the Markowitz optimization formula, which simultaneously increases returns while reducing risk. Unlike traditional models, this model does not assume equal weights for stocks.
Methodology:
Specifically, this research employs mean-variance and skewness optimization methods. To demonstrate the proposed approaches, data from 160 companies listed on the Tehran Stock Exchange between 2014 and 2022 were used. These data were utilized to construct and optimize mean-variance-skewness portfolios based on momentum and reversal strategies and to compare their performance.
Findings:
The results showed that the skewness-based momentum strategy in portfolio optimization outperforms other strategies in terms of performance and profitability.
Originality / Scientific Value:
In this model, stock weights are not considered equal, allowing investors with more precise information to better form and improve their investment portfolios.
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