مقایسه کارایی پرتفوی‌های بهینه متشکل از رمزارزها مبتنی بر سنجه‌های ریسک نامطلوب: تجزیه و تحلیلی بر سنجه‌های ریسک نامطلوب مبتنی بر صدک
الموضوعات : فصلنامه تحلیل بازار سرمایه
مصطفی شبانی
1
,
حسین قنبری
2
,
عمران محمدی
3
,
سید علی موسوی لولتی
4
1 - کارشناسی ارشد مهندسی صنایع، دانشکده مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران
2 - دانشجوی دکتری مهندسی صنایع، دانشکده مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران
3 - دانشکده مهندسی صنایع، دانشگاه علم و صنعت ایران، تهران، ایران
4 - دانشجوی کارشناسی ارشد مهندسی صنایع، گرایش مهندسی مالی، گروه مهندسی صنایع، واحد تهران، دانشگاه علم و صنعت ایران، تهران، ایران.
الکلمات المفتاحية: بهینه‌سازی سبد سرمایه‌گذاری, سنجه‌های ریسک نامطلوب, ارزش در معرض خطر مشروط, افت سرمایه در معرض خطر مشروط,
ملخص المقالة :
بازار رمزارزها به‌عنوان یکی از بازارهای نوظهور و در حال رشد تمرکز زیادی را در سال‌های اخیر به دلیل پتانسیل بالای سوددهی به خود کسب نموده است. این بازار شاهد رشد خارق‌العاده‌ای در سال‌های اخیر بوده؛ اما درعین‌حال سرمایه‌گذاری در آن با ریسک بسیار بالایی همراه می‌باشد. به همین منظور، اهمیت انتخاب یک استراتژی و معیار مناسب جهت سرمایه‌گذاری و سنجش ریسک در بازار رمزارزها امری بسیار حیاتی است. در میان سنجه‌های مختلف ریسک، سنجه‌های مبتنی بر صدک به دلیل توانایی بالقوه‌ای که در شناسایی دقیق ریسک‌های نامطلوب دارند، ابزاری بسیار کاربردی می‌باشند. در همین راستا، هم سرمایه‌گذاران و هم پژوهشگران تمایل زیادی به به‌کارگیری این دسته از سنجه‌های ریسک دارند. در همین راستا این پژوهش به بررسی و مقایسه کارایی سبدهای متشکل از رمزارزها مبتنی بر سنجه‌های ارزش در معرض خطر مشروط و افت سرمایه در معرض خطر مشروط به‌عنوان دو تا از مهم‌ترین سنجه‌های ریسک مبتنی بر صدک می‌پردازد. این مقایسه نه‌تنها به سرمایه‌گذاران کمک می‌کند تا با اطلاعات دقیق و تصمیم‌گیری آگاهانه، سبد سرمایه‌گذاری متشکل از رمزارزهای خود را به شیوه‌ای مؤثر مدیریت کنند، بلکه به تعمیق در درک این سنجه‌های ریسک و کاربرد آن‌ها در سایر تصمیم‌گیری‌های سرمایه‌گذاری نیز کمک می‌نماید. در جهت افزایش کاربرد این مدل‌ها در محیط‌های واقعی، محدودیت‌های عملیاتی نیز در طراحی آن‌ها لحاظ شده‌اند. نتایج این تحقیق نشان می‌دهد که مدل ارزش در معرض خطر مشروط، نتایج بهتری ارائه می‌کند و استفاده از آن به‌عنوان معیار ترجیحی، سرمایه‌گذاران را قادر می‌سازد تا تصمیمات آگاهانه‌تر و مستند به شواهد را در
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