نموذج برمجة بالأهداف مع دوال الرضا لاختيار المحفظة المالية فـي السـوق الماليـة السـعودية
DOI:
https://doi.org/10.59992/rrt49e48الكلمات المفتاحية:
اختيار المحفظة المالية، البرمجة بالأهداف بدوال الرضا، تفضيلات المستثمر، رأس المال الاستثمار، العوائد، عدد الأسهم، المخاطرالملخص
تقترح هذه الورقة نموذج برمجة بالأهداف مع دوال الرضا لمشكلة اختيار المحفظة المالية مع الأخذ بعين الاعتبار أهداف متضاربة مثل رأس المال الاستثمار والعائد والمخاطر في بيئة استثمارية تتسم بعدم التأكد. الهدف من هذه الورقة هو صياغة مقاربة متعددة الأهداف لاختيار محفظة مالية يتضمن معلمات ضبابية ودمج تفضيلات المستثمر صراحة من خلال مفهوم دوال الرضا. سوف يتم تطبيق النموذج المقترح لاختيار المحفظة المالية داخل السوق الماليـة السـعودية ومناقشة النتائج المتحصل عليها. تظهر النتائج العملية أن المستثمر تم إدماجه بشكل جيد في عملية الأمثَلة والحل في مشكلة اختيار المحفظة.
المراجع
Almahdi, S., & Yang, S. Y. (2017). An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown. Expert Systems with Applications, 87, 267–279. https://doi.org/https://doi.org/10.1016/j.eswa.2017.06.023
Bahloul, S., & Abid, F. (2011). A Combined Analytic Hierarchy Process and Goal Programming Approach to International Portfolio Selection in the Presence of Investment Barriers. International Journal of Multicriteria Decision Making, 3. https://doi.org/10.2139/ssrn.1806969
Ballestero, E., Pérez-Gladish, B., Arenas-Parra, M., & Bilbao-Terol, A. (2009). Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas. INFOR: Information Systems and Operational Research, 47(1), 59–70. https://doi.org/10.3138/infor.47.1.59
Batson, R. G. (1989). Financial planning using goal programming. Long Range Planning, 22(5), 112–120. https://doi.org/https://doi.org/10.1016/0024-6301(89)90175-1
Bellman, R. E., & Zadeh, L. A. (1970). Decision-Making in a Fuzzy Environment. Management Science, 17(4), B141--B164. http://www.jstor.org/stable/2629367
Bilbao-Terol, A., Arenas-Parra, M., & Cañal-Fernández, V. (2012). A fuzzy multi-objective approach for sustainable investments. Expert Systems with Applications, 39 (12), 10904–10915. https://doi.org/https://doi.org/10.1016/j.eswa.2012.03.034
Bilbao-Terol, A., Pérez-Gladish, B., Arenas-Parra, M., & Rodríguez-Uría, M. V. (2006). Fuzzy compromise programming for portfolio selection. Applied Mathematics and Computation, 173(1), 251–264. https://doi.org/https://doi.org/10.1016/j.amc.2005.04.003
Bravo, M., Pla-Santamaria, D., & Garcia-Bernabeu, A. (2010). Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case. Journal of Multi-Criteria Decision Analysis, 17(5–6), 155–166. https://doi.org/https://doi.org/10.1002/mcda.460
Calvo, C., Ivorra, C., & Liern, V. (2016). Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier. Annals of Operations Research, 245(1), 31–46. https://doi.org/10.1007/s10479-014-1561-2
Charnes, A., & Cooper, W. W. (1957). Management Models and Industrial Applications of Linear Programming. Management Science, 4(1), 38–91. http://www.jstor.org/stable/2627263
Cherif, M. S., Aouni, B., & Chabchoub, H. (2010). An imprecise goal programming approach for modeling design team’s preferences in quality function deployment planning process. Journal of Multi-Criteria Decision Analysis, 17(5–6), 137–154. https://doi.org/https://doi.org/10.1002/mcda.458
Cherif, M. S., Aouni, B., & Chabchoub, H. (2014). A product design methodology and a global optimisation model for QFD planning process. International Journal of Applied Nonlinear Science, 1(2), 173–205. https://doi.org/10.1504/IJANS.2014.060996
Gupta, M., & Bhattacharjee, D. (2010). Min sum weighted fuzzy goal programming model in investment management planning: A case study. International Research Journal of Finance and Economics, 56, 76–81. https://www.scopus.com/inward/record.uri?eid=2-s2.0-78349272362&partnerID=40&md5=e033a25ec1134e2ace75716d6aac8a96
Han, Y., & Li, P. (2017). An empirical study of chance-constrained portfolio selection model. Procedia Computer Science, 122, 1189–1195. https://doi.org/https://doi.org/10.1016/j.procs.2017.11.491
Iorio, C., Frasso, G., D’Ambrosio, A., & Siciliano, R. (2018). A P-spline based clustering approach for portfolio selection. Expert Systems with Applications, 95, 88–103. https://doi.org/https://doi.org/10.1016/j.eswa.2017.11.031
Jayaraman, R., Colapinto, C., Torre, D. La, & Malik, T. (2015). Multi-criteria model for sustainable development using goal programming applied to the United Arab Emirates. Energy Policy, 87, 447–454. https://doi.org/https://doi.org/10.1016/j.enpol.2015.09.027
Ji, X., Zhu, S., Wang, S., & Zhang, S. (2005). A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming. IIE Transactions, 37(10), 957–969. https://doi.org/10.1080/07408170591008082
Kocadağlı, O., & Keskin, R. (2015). A novel portfolio selection model based on fuzzy goal programming with different importance and priorities. Expert Systems with Applications, 42(20), 6898–6912. https://doi.org/https://doi.org/10.1016/j.eswa.2015.04.047
Konno, H., & Yamazaki, H. (1991). Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. Management Science, 37(5), 519–531. http://www.jstor.org/stable/2632458
La Torre, D., & Maggis, M. (2012). A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification. INFOR: Information Systems and Operational Research, 50. https://doi.org/10.3138/infor.50.3.117
Lee, S. M., & Chesser, D. L. (1980). Goal programming for portfolio selection. The Journal of Portfolio Management, 6(3), 22–26. https://doi.org/10.3905/jpm.1980.408744
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13–37. http://www.jstor.org/stable/1924119
Liu, S.-T. (2011). A fuzzy modeling for fuzzy portfolio optimization. Expert Systems with Applications, 38(11), 13803–13809. https://doi.org/https://doi.org/10.1016/j.eswa.2011.04.183
Mansini, R., & Speranza, M. G. (1999). Heuristic algorithms for the portfolio selection problem with minimum transaction lots. European Journal of Operational Research, 114(2), 219–233. https://doi.org/https://doi.org/10.1016/S0377-2217(98)00252-5
Mansour, N., Cherif, M. S., & Abdelfattah, W. (2019). Multi-objective imprecise programming for financial portfolio selection with fuzzy returns. Expert Systems with Applications, 138, 112810. https://doi.org/https://doi.org/10.1016/j.eswa.2019.07.027
Markowitz, H. (1952). PORTFOLIO SELECTION*. The Journal of Finance, 7(1), 77–91. https://doi.org/https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Martel, J.-M., & Aouni, B. (1990). Incorporating the Decision-Maker’s Preferences in the Goal-Programming Model. The Journal of the Operational Research Society, 41(12), 1121–1132. http://www.jstor.org/stable/2583109
Perez Gladish, B., Jones, D. F., Tamiz, M., & Bilbao Terol, A. (2007). An interactive three-stage model for mutual funds portfolio selection. Omega, 35(1), 75–88. https://doi.org/https://doi.org/10.1016/j.omega.2005.04.003
Perold, A. F. (1984). Large-Scale Portfolio Optimization. Management Science, 30(10), 1143–1160. http://www.jstor.org/stable/2631383
Qi-fa, X., Cui-xia, J., & Pu, K. (2007). Dynamic Portfolio Selection with Higher Moments Risk Based on Polynomial Goal Programming. Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE’07 (14th). https://doi.org/10.1109/ICMSE.2007.4422158
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360. https://doi.org/https://doi.org/10.1016/0022-0531(76)90046-6
Schaerf, A. (2002). Local Search Techniques for Constrained Portfolio Selection Problems. Computational Economics, 20(3), 177–190. https://doi.org/10.1023/A:1020920706534
Sharpe, W. F. (1963). A Simplified Model for Portfolio Analysis. Management Science, 9(2), 277–293. https://doi.org/10.1287/mnsc.9.2.277
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425–442. http://www.jstor.org/stable/2977928
Steuer, R. E., & Na, P. (2003). Multiple criteria decision making combined with finance: A categorized bibliographic study. European Journal of Operational Research, 150(3), 496–515. https://doi.org/https://doi.org/10.1016/S0377-2217(02)00774-9
Tamiz, M, Hasham, R., Jones, D. F., Hesni, B., & Fargher, E. K. (1996). A Two Staged Goal Programming Model for Portfolio Selection. In Mehrdad Tamiz (Ed.), Multi-Objective Programming and Goal Programming: Theories and Applications (pp. 286–299). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-87561-8_19
Tamiz, M., & Azmi, R. A. (2019). Goal programming with extended factors for portfolio selection. International Transactions in Operational Research, 26(6), 2324–2336. https://doi.org/https://doi.org/10.1111/itor.12423
Tanaka, H., Guo, P., & Türksen, I. B. (2000). Portfolio selection based on fuzzy probabilities and possibility distributions. Fuzzy Sets and Systems, 111(3), 387–397. https://doi.org/https://doi.org/10.1016/S0165-0114(98)00041-4
Watada, J. (1997). Fuzzy Portfolio Selection and Its Applications to Decision making. Tatra Mountains Mathematics Publication, 13, 219–248. https://ci.nii.ac.jp/naid/10015088858/en/
Xidonas, P., Mavrotas, G., Hassapis, C., & Zopounidis, C. (2017). Robust multiobjective portfolio optimization: A minimax regret approach. European Journal of Operational Research, 262(1), 299–305. https://doi.org/https://doi.org/10.1016/j.ejor.2017.03.041