استفاده از مدل ترکیبی کانسی- نگاشت خود سازمانده در مدیریت ریسک و ارزیابی سهام

نوع مقاله: مقاله علمی

نویسندگان

1 دانشیار دانشکده اقتصاد،مدیریت وحسابداری، دانشگاه یزد، ایران

2 دانشجوی کارشناسی ارشدمهندسی صنایع دانشگاه علم و هنر یزد، ایران

چکیده

در این مقاله از تحلیل کانسی که به وسیله الگوریتم یادگیری نگاشت خود سازمانده بهبود داده شده، برای تصمیم‌گیری در زمینه انتخاب سهام استفاده شده است.در این پژوهش با استفاده از آمار ماهانه سهام شرکت‌های فعال در بورس اوراق بهادار تهران از فروردین ماه 1392 تا خرداد ماه 1392 و نظرهای شش کارگزاری خبره در انتخاب سهام، به انتخاب سهام برتر در این دوره پرداخته شد. طبق نتایج به‌دست آمده شرکت­های پالایش­نفت بندرعباس، سیمان فارس و خوزستان و سرگروه توسعه­ملی به عنوان سهام برتر انتخاب شدند، تحلیل نمودار قیمت این شرکت­ها در بازه زمانی مذکور، نشان­دهنده، بازدهی قابل­قبول این شرکت‌ها در این دوره است.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The use of hybrid model Kansei-SOM in risk management and stock assessment

نویسندگان [English]

  • zahra nasrollahi 1
  • saeed Farhadi 2
1 Associate Professor, Faculty of Economics, Management and Accounting University of Yazd, Iran
2 Master of Industrial Engineering Student at the University of Arts and Sciences, Yazd, Iran
چکیده [English]

Risk management and stock assessment methods, age the key factors in decisions making and stock selection in the stock market. Various methods for selecting superior stocks in the stock market is introduced. In this paper we use Kansy analysis that has been improved by SOM learning algorithm to select stock. This method is used to integrate multi- professional idea to maximize investment returns and minimize the loss that originates from the complexity of stock market changes. This paper uses monthly statistics Tehran Stock Exchange firms from April 1392 to June 1392, and six brokerage expert opinions on selected stock, preferred stock selection in the course have been discussed. The results of Bandar Abbas Oil Refining Company , Fars and Khuzestan Cement and National Development Team Leader was selected as the preferred stock , price chart of these companies in the interval represents a reasonable return on the company’s workshop in.

کلیدواژه‌ها [English]

  • Keys: Stock assessment
  • Risk Management
  • preferred stock
  • Kansy analysis
  • som

[1]   Alam Tabriz. A, Afshari, M. A, Maleki. M. H, Mohammadi. R, (2011). Selection the optimal portfolio with ANN - artificial, Arima and Markowitz model to select the best portfolio in the Tehran Stock Exchange, First International Conference on Management and Innovation: 1-21.In Persian.

[2]   Amiri. M, Shariatpanahi. M, Banakar. MH, (2011). Selection optimal portfolio with multiple criteria decision making, journal of stock exchange, 11, 5-24.In Persian.

[3]   Chapman. S, (2008). MATLAB programming for engineers, translation: Behzad Abdi and Mahmoud Keshavarzi mehr, Tehran, Noorpardazan Publications, In Persian.

[4]   Ghadiri moghadam. A, Rafie Darani, H. (2006). Determination of optimum portfolio stock the food industry Tehran stock exchange, journal of agricultural economics and development (3): 304-309 In Persian.

[5]   Ghazizadeh. M, Tavakoli. M. (2007). The behavior of investment managers and financial analysts in predicting the market and stock selection in Tehran stock exchange, bimonthly Journal of Shahed University, (35) In Persian.

[6]   Grimsaeth, K. (2005). Kansei Engineering, www.ivt.ntnu.no. Norwegian.

[7]   Gupta. P, Inuiguchi. M, Mehlawat. M. K, Mittal. G,. (2013). Multiobjective Credibilistic Portfolio Selection Model with Fuzzy Chance-Constraints. Information Sciences, 229, 1-17.

[8]   Hashemi. A, Haghshenas. A, Valiabigdeli. M. (2007). Investment management approaches in regional stock Isfahan about market forecasts and stock selection, faculty of administrative sciences and economics, University of Isfahan, 19 (1) In Persian.

[9]   Homaye mehravan institute site: http://avanco.ir In Persian

[10]         Huang. X, Zhao. T,. (2014). Mean-Chance Model for Portfolio Selection Based on Uncertain Measure. Insurance: Mathematics and Economics, 59 243-250.

[11]         Investment management development of the Tehran stock exchange site: www.tse.ir In Persian.

[12]         Kohonen, T. (1988), Self-Organizing and Associative Memory, Springer-verlag, Germany.

[13]         Management Tehran Stock Exchange site: www.irbourse.com In Persian.

[14]         Musavaizade, H. (2007). Effect of Value at Risk models in the ranking and the optimum portfolio equity Journal Economic stock (65): 30-37 In Persian.

[15]         Nielsen, R. (1991). Neuro Computing, Addison-Wesley Publishing Company.

[16]         Pham, H. V. Cooper, E. W. Thang C, K. K. (2012). Hybrid Kansei-SOM Model Using Risk Management and Company Assessment for Stock Trading. Information Sciences: an International Journal, 256. -8-24.

[17]         Royaie. R, Beshkooh, M. (2014). Optimal portfolio selection with use combination of gray relationship analysis (GRA) and linear programming model (Case Study: investment companies), journal of accounting research, 4 (19): 1-20 In Persian.

[18]         Shen. Y; Zhang. X; Kuen Siu, T,. (2014). Mean–Variance Portfolio Selection under a Constant Elasticity of Variance Model. Operations Research Letters, 42, 337-342.

[19]         Teymouri. E, Aliahmadi. A, Babaei. M H, (2013). Provide a solution on algorithm based  to developed problem electromagnetic portfolio selection, journal of industrial engineering, Volume 47, Issue 2, pp. 127-134 In Persian .

[20]         Torkamani. J, Hoseini. A, (2007). Determining the optimum portfolio stock exchange: Application value at Risk, journal of Iran economic research, 8 (29): 75-92 In Persian.

[21]         Virtual exchange system http://www.irvex.ir/ In Persian.

[22]         Wu, D; Olson, D. L. (2010). Enterprise Risk Management: Coping with Model Risk in a Large Bank, Journal of the Operational Research Society,. 61,. 2, 179–190.