انتخاب پرتفوی سهام با استفاده از شواهد نظریه دمپستر-شفر

نوع مقاله : مقاله پژوهشی

نویسندگان

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

چکیده

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.

کلیدواژه‌ها

عنوان مقاله [English]

Stock Portfolio Selection Using Dempster-Shafer Evidence Theory

نویسندگان [English]

  • Shaban Mohammadi 1
  • Nader Naghshbandi 2
  • Hadi Saeidi 3
1 MSc. Department of Accounting- Hakim Nezami institution of higher education at Quchan , Iran
2 Associate profesor of Accounting, Hakim Nezami institution of higher education at Quchan, Iran
3 Assistant profesor of Department of Accounting, Shirvan Branch , Islamic Azad University, Shirvan, Iran
چکیده [English]

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.

کلیدواژه‌ها [English]

  • stock portfolio selection
  • ranking
  • Dempster-Schaeffer theory
  • ant colony optimization
  • fuzzy Delphi method

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دانش سرمایه‌گذاری
دوره 8، شماره 32
دی 1398
صفحه 109-128

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