نوع مقاله : مقاله پژوهشی - کاربردی

نویسندگان

1 دانشجوی دکتری مهندسی مالی، واحد شهرقدس، دانشگاه آزاد اسلامی، تهران، ایران.

2 استادیار گروه مدیریت بازرگانی، واحد شهرقدس، دانشگاه آزاد اسلامی، تهران، ایران.

3 استادیار گروه مدیریت فناوری اطلاعات، دانشکده مدیریت، واحد الکترونیکی، دانشگاه آزاد اسلامی، تهران، ایران.

4 استادیار گروه مدیریت مالی، دانشکده مدیریت، واحد الکترونیکی، دانشگاه آزاد اسلامی، تهران، ایران.

چکیده

یکی از جذاب‌ترین حوزه­های تصمیم‌گیری در شرایط عدم اطمینان بهینه­سازی پرتفوی سهام است. در تصمیم‌گیری به‌منظور سرمایه‌گذاری، دو عامل از اهمیت بسزایی برخوردار بوده و مبنای سرمایه­گذاری می‌باشد. این دو عامل ریسک و بازده هستند و در این رابطه، بررسی و مطالعه سرمایه‌گذاران در جهت انتخاب بهترین سبد سرمایه‌گذاری با توجه به میزان ریسک و بازده آن انجام می‌شود. پرتفوی به ترکیبی از دارایی‌ها گفته می‌شود که توسط یک سرمایه‌گذار برای سرمایه‌گذاری تشکیل می‌شود. فرآیند انتخاب سبد سهام یکی از مسائلی است که موردتوجه محققین زیادی بوده است. هدف این تحقیق ایجاد سبد بهینه سهام با استفاده از داده‌های پیش‌بینی‌شده می‌باشد. نمونه آماری تحقیق شامل داده­های مالی شرکت‌های بورس ایران طی سال‌های 1390 تا 1397 می‌باشد. در این پژوهش با استفاده از الگوریتم رگرسیون لبه اقدام به پیش‌بینی بازده سهام شده است و درنهایت با استفاده از روش مارکوف و الگوریتم خوشه‌بندی طیفی فیلتر لازم جهت انتخاب داده‌های اولیه مناسب انجام شد و روش فراابتکاری فرهنگی با داده‌های پیش‌بینی، سبد بهینه سهام را برای گروه سرمایه‌گذار با تمایلات ریسک‌پذیر و همچنین ریسک گریز ارائه کرد. نتایج تحقیق نشان می‌دهد که الگوریتم فراابتکاری فرهنگی با توجه به روش شارپ توانایی ایجاد سبد بهینه سهام با استفاده از داده‌های پیش‌بینی‌شده را با روش مارکویتز برای سرمایه‌گذاران ریسک‌پذیر و ریسک گریز دارد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Predicting the optimal stock portfolio approach of meta-heuristic algorithm and Markov decision process

نویسندگان [English]

  • Sasmiran Khaje zadeh 1
  • Shadi Shahverdiani 2
  • amir Daneshvar 3
  • Mahdi Madanchi zaj 4

1 PhD student in Financial Engineering, Shahr-e-Qods Branch, Islamic Azad University, Tehran, Iran. ,

2 Assistant Professor of Department of Business Management, Shahr-e-Qods Branch , Islamic Azad University, Tehran, Iran.

3 Assistant Professor of Department of Information Technology Management, Management Faculty, Electronic Branch, Islamic Azad University, Tehran, Iran.

4 Assistant Professor of Department of Financial Management, Management Faculty, Electronic Branch, Islamic Azad University, Tehran, Iran.

چکیده [English]

One of the most attractive areas for decision-making in the face of uncertainty is optimal stock portfolio. In decision making for investment, two factors are very important and are the basis of investment. These two factors are risk and return, and in this regard, the study and study of investors to select the best investment portfolio is done according to the amount of risk and its return. A portfolio is a combination of assets formed by an investor to invest. The process of selecting a stock portfolio is one of the issues that have been the focus of many researchers. The aim of this study is to create an optimal stock portfolio using the predicted data. The statistical sample of the research includes the financial data of Iranian stock exchange companies during the years 1390 to 1397. In this study, using stock regression algorithm to predict stock returns, and finally using Markov method and spectral clustering algorithm, the necessary filter to select the appropriate initial data was performed and cultural meta-processing method with prediction data, It provided the optimal portfolio of stocks for the investor group with risk-taking as well as risk-averse. The research results show that the cultural transcendental algorithm, according to Sharp's method, has the ability to create an optimal stock portfolio using predicted data using the Marquis method for venture capitalists and risk averse investors.

کلیدواژه‌ها [English]

  • optimal stock portfolio
  • Stock Return
  • meta-heuristic metacognitive algorithm
  • spectral clustering algorithm
  • Markov method
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