انتخاب پرتفوی سهام با استفاده از شواهد نظریه دمپستر-شفر
محورهای موضوعی : دانش سرمایهگذاریشعبان محمدی 1 , نادر نقش بندی 2 , هادی سعیدی 3
1 - کارشناسی ارشد حسابداری، موسسه آموزش عالی حکیم نظامی قوچان، قوچان، ایران. (نویسنده مسئول)
2 - استادیار گروه حسابداری،موسسه آموزش عالی حکیم نظامی قوچان، قوچان، ایران
3 - استادیار گروه حسابداری، واحد شیروان، دانشگاه آزاد اسلامی، شیروان، ایران
کلید واژه: پرتفوی سهام, دمپستر-شفر, بهینه سازی, روش فازی,
چکیده مقاله :
درمدل ریسک و بازده برای انتخاب پرتفوی سهام از داده های تاریخی دارایی استفاده می گردد. عوامل بحرانی نیز وجود دارد که به طور مستقیم یا غیر مستقیم بر بازار سهام تاثیر می گذارد.در پژوهش حاضر از روش دلفی فازی برای شناسایی عوامل بحرانی و از فاکتورهای دارای ضریب همبستگی پایین استفاده شد.از عوامل بحرانی و داده های تاریخی برای تطبیق تئوری شواهد دمپستر-شفر برای رتبه بندی سهام استفاده شد. نمونه گیری با استفاده از سهام موجود در بورس اوراق بهادار تهران و شبیه سازی توسط بهینه سازی کولونی مورچه و همچنین از نرم افزار متلب برای پیاده سازی استفاده گردید. عملکرد نتایج در مقایسه با عملکرد اخیر دارایی ها رضایت بخش است.
Markovitz's risk-taking model is to select stocks based on historical asset data. In addition to the impact of historical returns, there are many other critical factors that directly or indirectly affect the stock market. The present study first uses the Fuzzy Delphi method to identify critical factors and ultimately considers factors with low correlation coefficients. Critical factors and historical data were used to adapt Dempestor-Schafer evidence theory for stock rankings. Then, in the sampling model, stocks with a higher rank are proposed. Sampling was carried out using stock held on Tehran Stock Exchange and simulated by optimization of colonization of ant. The performance of the results is satisfactory in comparison with the recent performance of assets.
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