اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

ارزیابی و انتخاب پرتفوی بهینه با استفاده از روش اولویت‌بندی فازی و کوپراس بر اساس معیارهای مبتنی بر ترجیحات سرمایه‌گذاران

نوع مقاله : مقاله پژوهشی

نویسندگان
گروه حسابداری، دانشکده حسابداری، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.
چکیده
در این پژوهش به ارزیابی و انتخاب پرتفوی بهینه با استفاده از روش اولویت‌بندی فازی و کوپراس بر اساس معیارهای مبتنی بر ترجیحات سرمایه‌گذاران پرداخته شده است؛ جامعه آماری اول پژوهش شامل 30 شرکت پرمصرف آب پذیرفته شده در بورس اوراق‌بهادار تهران می‌باشد و جامعه آماری دوم نیز شامل تعداد 17 نفر از خبرگان دانشگاهی و حرفه‌ای می‌باشند. برای تعیین معیارهای انتخاب پرتفوی بهینه مبتنی بر ترجیحات سرمایه‌گذاران، نخست در فاز اول به جهت شناسایی معیارها، به مرور متون و تحقیقات پیشین صورت گرفته پرداخته و سپس در فاز دوم جلساتی به‌صورت دلفی با خبرگان حرفه‌ای و دانشگاهی برگزار شد و خروجی این جلسات به انضمام مطالعات ادبیات تحقیق باعث استخراج بیش از 7 معیار مؤثر مشتمل بر انحراف بازده سهام، نقدشوندگی سهام، نسبت قیمت به سود هر سهم، سودآوری، نرخ بازده حقوق صاحبان سهام، مخارج تحقیق و توسعه و تصویر شرکت (شهرت شرکت) بوده است.سپس برای تعیین وزن معیارها، با استفاده از روش فرآیند تحلیل سلسله مراتبی فازی، پرسشنامه مقایسات زوجی در اختیار 17 نفر از کارشناسان قرار گرفت و از آن‌ها خواسته شد که درجه اهمیت هر معیار را نسبت به دیگر معیارها بیان کنند، که با توجه به نتایج کسب شده و با استفاده از نرم‌افزار اکسل 2016، در بین معیارهای انتخاب پرتفوی بهینه مبتنی بر ترجیحات سرمایه‌گذاران، معیار «نرخ بازده حقوق صاحبان سهام» در اولویت اول، قرار گرفت. با توجه به نتایج به‌دست آمده از رتبه‌بندی نهایی گزینه‌های تحت مطالعه نسبت به شاخص‌های نهایی وزن‌دار به‌دست آمده، سه شرکت پگاه خراسان، پتروشیمی شیراز و نوش مازندران به‌ترتیب رتبه اول تا سوم را به‌دست آورده‌اند.

چکیده تصویری

ارزیابی و انتخاب پرتفوی بهینه با استفاده از روش اولویت‌بندی فازی و کوپراس بر اساس معیارهای مبتنی بر ترجیحات سرمایه‌گذاران
کلیدواژه‌ها
موضوعات

عنوان مقاله English

Evaluation and Selection of the Optimal Portfolio Using the Fuzzy Prioritization Method and Kapras Based on Criteria Based on Investors' Preferences

نویسندگان English

Najmeh Anami
Mahmoud Kohansal Kafashgari
Ali Golmohammadi
Department of Accounting, Faculty of Accounting, Arak Branch, Islamic Azad University, Arak, Iran.
چکیده English

This study evaluates and selects an optimal portfolio using the fuzzy prioritization method and COPRAS based on criteria derived from investors' preferences. The first sample consists of 30 water-intensive companies listed on the Tehran Stock Exchange, and the second sample includes 17 academic and professional experts. To determine the criteria for selecting the optimal portfolio based on investors' preferences, the first phase involved identifying criteria through a review of literature and previous studies. In the second phase, Delphi sessions were held with professional and academic experts, and the output of these sessions, along with the literature review, resulted in the identification of over seven key criteria, including stock return deviation, stock liquidity, price-to-earnings ratio, profitability, return on equity, research and development expenditures, and company image (reputation). For weighting the criteria, the fuzzy analytic hierarchy process method was used, and a pairwise comparison questionnaire was given to 17 experts to assess the relative importance of each criterion. Based on the results obtained using Excel 2016, the criterion “Return on Equity” was ranked first among the criteria for selecting the optimal portfolio based on investors' preferences. Based on the final ranking of the options according to the weighted final indices, Pegah Khorasan, Shiraz Petrochemical, and Nush Mazandaran companies ranked first, second, and third, respectively.

کلیدواژه‌ها English

Optimal Portfolio
Fuzzy Prioritization
COPRAS Technique
Investors'
Preferences
Return on Equity
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