Portfolio optimization by using Value at Risk in integrated DEA-MODM method
کد مقاله : 1039-FEMATH-FULL (R1)
سارا نویدی *1، شکوفه بنی هاشمی2
2هیات علمی
چکیده مقاله:
The purpose of this paper is portfolio optimization which consists of stock screening, stock selection and capital allocation. In the first step, the stock companies screening by their financial data. For second step, we need some inputs and outputs for solving Data Envelopment Analysis (DEA) models. Conventional DEA models assume non-negative data for inputs and outputs. However, many of these data take negative value, therefore we used Range Directional Measure (RDM) that can take positive and negative values. Also, regard to disadvantages of variance, we consider one of downside risk measure namely Value at Risk (VaR). After using DEA model, the efficient stock companies will select for making the portfolio. In the third step, Multi Objective Decision Making (MODM) model was used to specify the capital allocation to the stock companies that selected for the portfolio. Finally, a numerical example of the purposed method in Iranian stock companies is presented.
کلیدواژه ها:
Portfolio optimization, Data Envelopment Analysis, Multi Objective Decision Making, Value at Risk, Negative data.
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