ﺑﻬﻴﻨﻪ ﺳﺎزي ﺑﺎزه اي ﺳﺒﺪ ﺳﻬﺎم ﺑﺎ ﺳﻨﺠﺔ رﻳﺴﻚ ارزش در ﻣﻌﺮض ﺧﻄﺮ ﻣﺸﺮوط

Interval Optimization In Portfolio Selection with Conditional Value At Risk

در اﻳﻦ ﻧﻮﺷﺘﺎر ﻣﺴﺌﻠﺔ اﻧﺘﺨﺎب ﺳﺒﺪ ﻣﺎﻟﻲ ﺑﺎ اﺳﺘﻔﺎده از روﻳﻜﺮد ﺑﻬﻴﻨﻪ ﺳﺎزي ﺑﺎزه اي ﺑﺮرﺳﻲ ﺷﺪه اﺳﺖ. ﺑﺪﻳﻦ ﻣﻨﻈﻮر ارزش در ﻣﻌﺮض ﺧﻄﺮ ﻣﺸﺮوط ﻛﻪ زﻳﺎن اﻧﺘﻈﺎري در ﻳﻚ ﺳﻄﺢ اﻃﻤﻴﻨـﺎن ﺗﻌﻴﻴﻦ ﺷﺪه را ﺑﺮآورد ﻣﻲ ﻛﻨﺪ، ﻣﻌﻴﺎري ﺑﺮاي ﺑﺮآورد رﻳﺴﻚ در ﻧﻈﺮ ﮔﺮﻓﺘﻪ ﺷـﺪه اﺳـﺖ اﺳـﺘﻔﺎده از ارزش در ﻣﻌﺮض ﺧﻄﺮ ﻣﺸﺮوط، ﺑﺎﻋﺚ ﻣﻲ ﺷـﻮد ﻛـﻪ ﻣـﺪل اﻧﺘﺨـﺎب ﺳـﺒﺪ ﺳـﻬﺎم ﺑـﻪ ﻳـﻚ ﻣـﺪل ﺑﺮﻧﺎﻣﻪ رﻳﺰي ﺧﻄﻲ ﺗﺒﺪﻳﻞ ﺷﻮد. ﺗﻮﺳﻌﺔ ﺻﻮرت ﮔﺮﻓﺘـﻪ در اﻳـﻦ ﻣـﺪل ، در ﻧﻈـﺮ ﮔـﺮﻓﺘﻦ ﺑـﺎزده ﻫـﺎي اﻧﺘﻈﺎري ﺑﻪ ﺷﻜﻞ ﺑﺎزه اي اﺳﺖ؛ ﺑﻪ ﻫﻤﻴﻦ دﻟﻴﻞ از روﻳﻜﺮد ﺑﻬﻴﻨﻪ ﺳﺎزي ﺑـﺎزه اي اﺳـﺘﻔﺎده ﻣـﻲ ﺷـﻮد ﺑﻬﻴﻨﻪ ﺳﺎزي ﺑﺎزه اي ﺑﺮاي در ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﻋﺪم ﻗﻄﻌﻴﺖ داده ﻫﺎﺳﺖ. اﻳﻦ روﻳﻜﺮد ﻣﺪل ﻫﺎي ﻗﻄﻌـﻲ را ﺑﻪ دﻧﻴﺎي واﻗﻌﻲ ﻧﺰدﻳﻚ ﺗﺮ ﻣﻲ ﻛﻨﺪ، درواﻗﻊ ﺑﻪ ﻛﻤﻚ اﻳﻦ ﻣﺪل ﻣﻲ ﺗـﻮان در ﺑـﺪﺗﺮﻳﻦ ﺣﺎﻟـﺖ ﻧﻮﺳـﺎن ﺑﺎزار ﺳﻬﺎم، ﺑﻪ ﺑﻬﺘﺮﻳﻦ ﺟﻮاب رﺳﻴﺪ ﻧﺘﺎﻳﺞ ﺣﻞ اﻳﻦ ﻣﺪل ﻧﺸﺎن دﻫﻨﺪة ﻛﺎراﻳﻲ روﻳﻜﺮدي اﺳﺖ ﻛﻪ در اﻳﻦ ﭘﮋوﻫﺶ ﭘﻴﺸﻨﻬﺎد ﺷﺪه اﺳﺖ.

In this paper portfolio selection problem with interval optimization approach is surveyed. CVaR is risk measure. CVaR is the expected loss depending on the chosen confidence level. Using CVaR makes the portfolio selection problem linear programming. Contribution of this paper is to consider mean expected interval; this development help portfolio selection problem to consider uncertainty. Interval optimization is modeling approach to consider parameters uncertainty in this paper. Considering uncertainty make model more realistic. The results of model show that this approach has computational efficiency and on the other hand proposed model produce better solution in risk and portfolio rate of return point of view.