خلاصة:
Among the issues faced by financial managers and capital owners, capital budgeting is designed such that, in addition to providing the desired cash flow, capital stagnation is prevented. Selecting appropriate options and purchasing stocks in the stock market are other attractive issues that have always drawn the attention of researchers, managers, and investors. Although numerous models have been proposed for decision-making under uncertainty so far, in many of these models, the total risk over the sampling period is minimized while the return of each period for providing the required cash flow for investors is either ignored or, if considered, the model becomes very complex. In this article, while addressing various common investment indices under certainty and uncertainty and critiquing each, different types of common optimal investment models in bonds and the stock market are introduced. An innovative model based on minimizing the maximum dispersion of returns resulting from investment is presented for selecting a stock portfolio, which, in addition to its simplicity and possessing the capabilities of conventional models, also considers the profit return of each period in the optimization process. Then, along with a numerical example, the performance of the presented model is measured and examined against some common models. Additionally, the method of detecting and creating changes during the occurrence of risk to save capital is identified.
ملخص الجهاز:
An innovative model based on minimizing the maximum dispersion of returns resulting from investment for portfolio selection is presented, which, in addition to simplicity and possessing the capabilities of conventional models, also takes the profit return of each period into account during the optimization process.
Additionally, an innovative model and algorithm are introduced that, in addition to possessing the capabilities of conventional models, also takes the profit return of each period into account in the process of determining the appropriate response; then, along with a numerical example, the performance of the designed model is reviewed against other models, and finally, the method of detecting and creating changes during the occurrence of risk to save capital is specified along with the model.
The Markowitz model is as follows: (refer to the page image) where: Xi is the percentage of investment to purchase shares of project i, O?ij is the covariance of project i shares relative to j, O?ij is the variance of project j shares, I* and Iij are the ratio of desired capital return and the ratio of capital return related to project j at the end of time period I.
Also, i is the number of observations and K represents the reference value5, which is usually equal to half the size of the change that occurred, which is acceptable to investors, and is obtained from relation (3-2): (3-2) (refer to the page image) Given Page's relation, a model capable of calculating period returns and providing the required cash flow has the structure (3-3):11 (3-3) (refer to the page image) As can be observed, the objective function of the model minimizes the maximum cumulative sum of return deviations in the lower part and the inequality constraint ensures that the return level does not fall below the minimum limit desired by the investor.
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