بهینه‌سازی پرتفو با استفاده از مدل مارکویتز تعدیل شده مبتنی بر مدلسازی CO-GARCH در قیاس با بازار

نوع مقاله : پژوهشی

نویسندگان

1 دانشجویی دکتری، دانشکده اقتصاد، حسابداری و مدیریت. واحد تبریز. دانشگاه آزاد اسلامی. تبریز. ایران

2 دانشیار، دانشکده اقتصاد،حسابداری و مدیریت. واحد تبریز. دانشگاه آزاد اسلامی. تبریز. ایران

3 استادیار، دانشکده اقتصاد،حسابداری و مدیریت. واحد تبریز. دانشگاه آزاد اسلامی. تبریز. ایران

چکیده

بهینه‌سازی پرتفوی و تصمیم‌گیری درباره اینکه کدام سهام شایستگی قرار گرفتن در سبد سرمایه‌گذاری را دارد و چگونگی تخصیص سرمایه، مباحثی پبچیده است. از لحاظ نظری، انتخاب سبد سهام در حالت حداقل کردن ریسک در صورت ثابت در نظر داشتن بازده از طریق یک معادله درجه دوم قابل حل است، لیکن در دنیای واقعی با توجه به اینکه رفتار بازار سهام از یک الگوی خطی پیروی نمی‌کند، روش‌های خطی رایج نیز نمی‌تواند در توصیف این رفتار مفید واقع شود. یک روش طبیعی برای لحاظ کردن محدودیتهای مبتنی بر زمان فرآیندهای گسسته، استفاده از مدل‌های خانواده GARCH است. مدل GARCH با زمان پیوسته (CO-GARCH) آنالوگ مستقیمی از GARCH با زمان گسسته است که ویژگی های اساسی فرایند مذکور را به روشی طبیعی تعمیم می‌دهد. مزیت دیگر مدل CO-GARCHاین است که ساختار مرتبه دوم آن شناخته شده و مشخص است. لذا در این پژوهش بهینه‌سازی پرتفوی با استفاده از مدل مارکویتز تعدیل شده مبتنی بر مدلسازی CO-GARCH در قیاس با بازار بررسی شده است. جامعه آماری پژوهش حاضر شامل اطلاعات شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران برای دوره زمانی سال‌های 1390 تا 1399 بوده و نمونه آماری با استفاده از روش حذف سیستماتیک انتخاب گردید. ابتدا مدل بهینه سرمایه‌گذاری بر اساس مدل مارکویتز مبتنی بر مدلCO-GARCH ارائه شده و سپس با بازار مقایسه گردید. نتایج پژوهش حاکی از آن است که کارایی پرتفوی بهینه تشکیل شده با استفاده از مدل مارکویتز تعدیل شده مبتنی بر نوسانات CO-GARCH در مقایسه با کارایی بازار دارای تفاوت معناداری می‌باشد.

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