شماره ركورد كنفرانس :
4755
عنوان مقاله :
بهينه سازي سبد سرمايه گذاري با استفاده از نسبت ترينر: مطالعه سهم هاي منتخب از بازار اوراق بهادار تهران
عنوان به زبان ديگر :
Portfolio Optimization Using Treynor Ratio: A Study of Selected Stocks from Tehran Securities Exchange
پديدآورندگان :
Pourmoghadam Shakiba (shakiba.p9170@gmail.com) - Department of Financial Sciences, Kharazmi University, Tehran, Iran , Farasatkish Sedigheh (sd.farasat@gmail.com) Department of Financial Sciences, Kharazmi University, Tehran, Iran
كليدواژه :
بهينه سازي سبد سرمايه گذاري , نسبت ترينر , بورس اوراق بهادار تهران
عنوان كنفرانس :
اولين كنفرانس بين المللي نوآوري در مديريت كسب و كار و اقتصاد
چكيده فارسي :
The issue of selecting a set of assets optimally is one of the theories of the capital markets which is a crossing point of microeconomics and macroeconomics. In macroeconomics, the investment is one of the important index and has a crucial role in economic growth and development. At the other side, in microeconomics, the importance of the investment decisions are arising from this fact that investors defer the consumption in the present in order to consume more in the future. The aim of this paper is to select stocks having Treynor ratio greater than a threshold and build an optimal portfolio. To analyze the performance of this method, we use the daily close prices of 47 companies in Tehran Securities Exchange. Finally, we assess the portfolio performance using Sharpe ratio.
