مدیریت سرمایه گذاری استوار با عدم قطعیت در وزن دهی دارایی ها توسط مدیران صندوق های سرمایه گذاری

مدیریت سرمایه گذاری استوار با عدم قطعیت در وزن دهی دارایی ها توسط مدیران صندوق های سرمایه گذاری

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکترای مهندسی مالی دانشکده مدیریت دانشگاه آزاد اسلامی واحد تهران مرکز، تهران، ایران

2 استادیار گروه مدیریت دانشکده مدیریت دانشگاه آزاد اسلامی واحد تهران مرکز، تهران، ایران

3 استادیار گروه مدیریت دانشکده مدیریت دانشگاه علامه طباطبائی، تهران، ایران

4 دانشیار، گروه مدیریت دانشکده مدیریت، دانشگاه آزاد اسلامی - واحد تهران مرکز، تهران، ایران

چکیده

در این مقاله چارچوب استواری بیان شده است که در آن عدم اطمینان برخواسته از تخصیص وجوه صندوقهای سرمایه گذاری به داراییها به همراه عدم اطمینان ناشی از بازده داراییها، مدنظر قرار گرفته است. هدف این است که سرمایه گذاران بتوانند با سنجش دقیقتر مهارت مدیران صندوقها، وجوه خود را به طور کارآمدتری بین صندوقها تسهیم کنند. در این مدل و در بین دوره های زمانی هر صندوق، بدترین واریانس (ریسک) و از بین بدترین ها،کوچکترین واریانس انتخاب گردیده است. به همین دلیل برای حل مسئله از Min-Max استفاده شده است.
جداول به دست آمده از این مدل مشخص می کند که سرمایه گذاران باید چه مبلغ یا درصدی از سرمایه خود را در کدام یک از صندوقها، سرمایه گذاری نمایند؛ که در این صورت پرتفوی آنها از جنبه ریسک و بازده (ریسک و انتخاب اوراق بهادار) و همچنین از جنبه ریسک و وزن دهی به داراییها، بهینه می شود.

کلیدواژه‌ها

عنوان مقاله [English]

Robust investment management with uncertainty in asset weighting by fund managers investment funds

نویسندگان [English]

  • REZA faghire 1
  • gholamreza zomorodian 2
  • Majid Shariat panahi 3
  • Mir Feyz Fallahshams 4
1 PhD student in Financial Engineering, Faculty of Management, Islamic Azad University, Tehran Branch, Tehran, Iran
2 Assistant Professor of Management, Faculty of Management, Islamic Azad University, Central Tehran Branch, Tehran, Iran
3 Assistant Professor of Management, Faculty of Management, Allameh Tabatabai University, Tehran, Iran
4 Islamic Azad University Tehran Branch/ Finance associate professor
چکیده [English]

In this article, the issue is that the investment manager should allocate his available funds to a set of fund managers whose assets are assigned to the fund manager. Investing (or money manager) is not exactly known. The paper addresses the sustainability framework in which the uncertainty about the allocation of funds from asset managers to asset managers, combined with the uncertainty arising from the return on the asset group, has been taken into account so that investors can more accurately measure the skills of fund managers, funds Separate yourself more efficiently between funds. In the proposed model, the variance is considered as a risk, and among the periods of each fund, the worst variance and the worst, the smallest variance is chosen. For this reason, Min-Max has been used to solve the problem.
As we see, the results obtained from a firm modeling solution, the number of excess returns (nominal and benchmark differences) as well as the number of risk changes relative to the standard returns in the outcome tables determine that investors must pay their funds in which of the fund And how much they invest.
In the five-step process of investment management or securities portfolio formation, the two components of securities selection and weighting are decided. In this process, the last step is to measure the performance of the portfolio in which the rate of return is measured along with the risk.

کلیدواژه‌ها [English]

  • Uncertainty
  • Risk
  • return

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فصلنامه بورس اوراق بهادار
دوره 13، شماره 49
بهار 1399
صفحه 160-181

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