انتخاب پرتفوي بهينه با استفاده از مدل برنامهريزي توافقي در بورس اوراق بهادار تهران

Optimum Portfolio Selection Using the Compromiseprogramming Model in Tehran Stock Exchange

ﺗﺎﮐﻨﻮن ﻣﺪلﻫﺎي ﻣﺨﺘﻠﻔﯽ در زﻣﯿﻨﻪ اﻧﺘﺨﺎب ﭘﺮﺗﻔﻮي ﺑﻬﯿﻨﻪ ﺑﺮاي ﺳﺮﻣﺎﯾﻪﮔﺬاران، اراﺋﻪﺷﺪه اﺳﺖ. اﮐﺜﺮ ﻗﺮﯾﺐ ﺑﻪ اﺗﻔﺎق اﯾﻦ ﻣﺪلﻫﺎ در ﻧﻬﺎﯾﺖ ﺑﺎ اراﺋﻪ ﻣﺠﻤﻮﻋﻪاي از ﭘﺮﺗﻔﻮيﻫﺎي ﻣﻮﺟﻮد در ﻣﺮزﮐﺎرا، ﻓﺮآﯾﻨﺪ اﻧﺘﺨﺎب را ﺑﻪ ﭘﺎﯾﺎن ﻣﯽرﺳﺎﻧﻨﺪ و در ﺑﻬﺘﺮﯾﻦ ﺣﺎﻟﺖ در اداﻣﻪ ﻓﺮآﯾﻨﺪ، ﺑﺎ اﺳﺘﺨﺮاج ﺗﺎﺑﻊ ﻣﻄﻠﻮﺑﯿﺖ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺗﺮﺟﯿﺤﺎت ﺳﺮﻣﺎﯾﻪﮔﺬار از ﻃﺮﯾﻖ ﮔﻔﺘﮕﻮﻫﺎي ﺗﻌﺎﻣﻠﯽ ﺗﺎ ﺣﺪ اﻣﮑﺎن ﭘﺮﺗﻔﻮي ﺑﻬﯿﻨﻪ را ﻣﺘﻨﺎﺳﺐ ﺑﺎ ﻣﻮﻗﻌﯿﺖﻫﺎي ﻣﺎﻟﯽ و وﯾﮋﮔﯽﻫﺎي رﻓﺘﺎري و رواﻧﯽ اﻓﺮاد ﺗﻌﯿﯿﻦ ﻣﯽﻧﻤﺎﯾﻨﺪ. در ﻋﻤﻞ اﯾﻦ اﻣﺮ ﺑﻪ دﻟﯿﻞ ﺗﻔﺎوتﻫﺎي ﻣﻮﺟﻮد در ﺗﺎﺑﻊ ﻣﻄﻠﻮﺑﯿﺖ اﻓﺮاد ﺑﺴﯿﺎر ﻣﺸﮑﻞ و زﻣﺎنﺑﺮ ﻣﯽﺑﺎﺷﺪ. اﯾﻦ ﻣﺴﺌﻠﻪ، ﺟﺎﯾﮕﺎه ﻣﺪل ﺑﺮﻧﺎﻣﻪرﯾﺰي ﺗﻮاﻓﻘﯽ و ﻗﺎﺑﻠﯿﺖﻫﺎي وﯾﮋه ﻣﺠﻤﻮﻋﻪ ﺗﻮاﻓﻘﯽ را ﺑﻪﻋﻨﻮان ﯾﮑﯽ از ﻣﺪلﻫﺎي ﻣﻮﺟﻮد در ﺗﺼﻤﯿﻢﮔﯿﺮي ﭼﻨﺪ ﻣﻌﯿﺎره در اﻧﺘﺨﺎب ﺳﺒﺪ ﺳﻬﺎم ﺑﻬﯿﻨﻪ ﻣﺘﻤﺎﯾﺰ ﻣﯽﺳﺎزد. در ﭘﮋوﻫﺶ ﺣﺎﺿﺮ، ﺑﺎ ﻧﻤﻮﻧﻪﮔﯿﺮي ﺗﺼﺎدﻓﯽ ﺑﻪ اﻧﺘﺨﺎب ﺗﻌﺪاد 20 ﺷﺮﮐﺖ ﮐﻪ در ﺳﺎلﻫﺎي 95-97 در ﺑﻮرس اوراق ﺑﻬﺎدار ﻓﻌﺎل ﺑﻮدهاﻧﺪ اﻗﺪام ﮔﺮدﯾﺪه اﺳﺖ. ﺑﺎ ﺑﺮرﺳﯽ ﻗﺪر ﻣﻄﻠﻖ ﺗﻔﺎﺿﻞ ﻣﺠﻤﻮع ﺷﺎﺧﺺﻫﺎي ﺳﻮدآوري و اﯾﻤﻨﯽ ﺣﺎﺻﻞ از ﺑﻬﯿﻨﻪﺳﺎزي ﺗﻮاﺑﻊ ﻣﻄﻠﻮﺑﯿﺖ ﺳﺮﻣﺎﯾﻪﮔﺬاري از ﻃﺮﯾﻖ ﻣﺴﺘﻘﯿﻢ و ﻣﻘﺎﯾﺴﻪ آن ﺑﺎ ﻧﺘﺎﯾﺞ ﺣﺎﺻﻞ از ﺑﻬﯿﻨﻪﺳﺎزي اﻧﺠﺎمﺷﺪه ﺑﺮ اﺳﺎس روش ﺑﺮﻧﺎﻣﻪرﯾﺰي ﺗﻮاﻓﻘﯽ، ﻓﺮﺿﯿﻪ ﭘﮋوﻫﺶ ﻣﻮرد ﺗﺎﺋﯿﺪ ﻗﺮار ﮔﺮﻓﺖ.

Various models on how investors choose the most optimum portfolio have been introduced. Majority of such models complete the process of choosing by a set of the available portfolios provided on􀀃the􀀃efficient􀀃frontier.􀀃At􀀃best,􀀃by􀀃extracting􀀃utility􀀃function􀀃based􀀃on􀀃the􀀃investors’􀀃 preference through interactive dialogues, then the optimum portfolio according the financial situations and mental and behavioral characteristics was determined. Notably, in practice, this is very difficult for the possible differences in the utility functions. These problems distinguish the role of the compromise-programming model and the unique abilities of compromise set as one of the available models in the multi-criteria decisionmaking in choosing optimal portfolio. In current research, 20 active companies in Tehran exchange market during 2015-2018 period were selected. After determining the sum of the absolute difference of safety and profitability index of optimizing investing utility functions with direct method and its comparison with the results of compromise set method, the research hypothesis accepted