Identify and rank the factors affecting stock portfolio optimization with fuzzy network analysis approach

Subject Areas : Financial engineering

Alireza Zamanpour ¹ , Majid Zanjirdar ² , Majid Davodi Nasr ³

1 - Department Of Financial - Financial, Engineering,, Arak Breach, Islamic Azad university, Arak, , Iran
2 - Department Of Financial , Management, , Arak Breach, Islamic Azad university,, Arak, , Iran
3 - Department Of Accounting,, Arak Breach, Islamic Azad university,, Arak, , Iran

Received: 2020-10-13 Accepted : 2021-01-10 Published : 2021-06-22

Keywords: Portfolio optimization, Risk, , stock portfolio, , return, , Fuzzy network analysis,

Abstract :

The Impact of Observing the Principles and Rules of Correct Communication on Project Management (Case Study: Karaj City) In recent years, many efforts have been made to guide investors in proper investment and numerous models have been offered. The concepts of portfolio optimization and diversification have become tools for developing and understanding financial markets and financial decisions. In most optimization methods, the optimal answer and its accuracy are highly dependent on inputs to the extent that a more appropriate and accurate selection of input variables will be very important in stock portfolio optimization. In this research, through a regular and logical process based on the judgment method in a survey of 14 experts in the field of capital market investment and a quantitative and multivariate model of fuzzy network analysis, to assess the level of importance, ranking and refining the effective factors. Portfolio optimization was undertaken. Based on the analysis, the variables of profit volatility, return on capital, company value, market risk, stock profitability, financial structure, liquidity and survival index can be introduced as the most important factors affecting the optimization of the stock portfolio.