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Presenting a comparative model of stock investment portfolio optimization based on Markowitz model | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 2، شماره 2، اسفند 2022، صفحه 129-150 اصل مقاله (778.13 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2023.15189 | ||
| نویسندگان | ||
| Samaneh Mohammadi Jarchelou؛ Kianoush Fathi Vajargah* ؛ Parvin Azhdari | ||
| Department of Statistics, Islamic Azad University, Tehran North Branch | ||
| چکیده | ||
| Investment is the selection of assets to hold and earn more pro t for greater prosperity in the future. The selection of a portfolio based on the theory of constraint is classical data covering analysis evaluation and ranking Sample function. The in vestment process is related to how investors act in deciding on the types of tradable securities to invest in and the amount and timing. Various methods have been proposed for the investment process, but the lack of rapid computational methods for determining investment policies in securities analysis makes performance appraisal a long term challenge. An approach to the investment process consists of two parts. Major is securities analysis and portfolio management. Securities analysis involvesestimating the bene ts of each investment, while portfolio management involves analyzing the composition of investments and managing and maintaining a set of investments. Classical data envelopment analysis (DEA) models are recognized as accurate for rating and measuring efficient sample performance. Unluckily, this perspective often brings us to get overwhelmed when it's time to start a project. When it comes to limiting theory, the problem of efficient sample selection using a DEA models to test the performance of the PE portfolio is a real discontinuous boundary and concave has not been successful since 2011. In order to solve this problem, we recommend a DEA method divided into business units based on the Markowitz model. A search algorithm is used to introduce to business units and prove their validity. In any business unit, the boundary is continuous and concave. Therefore, DEA models could be applied as PE evaluation. To this end, 25 companies from the companies listed on the Tehran Stock Exchange for the period 1394 to 1399 were selected as the sample size of statistics in data analysis. To analyze the data, after classi cation and calculations were analysed by MATLAB software, the simulation results show that performance evaluation based on constraint theory based on DEA approach and the Markowitz model presented in this paper is efficient and feasible in evaluating the portfolio of constraint theory. | ||
| کلیدواژهها | ||
| Data envelopment analysis؛ performance measurement؛ portfolio optimization؛ stocks؛ securities | ||
| مراجع | ||
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