Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products

Objective: Nowadays, the capital market is considered an important source of financing for companies and if a suitable model for portfolio selection by considering different preferences of investors is designed, the existing capital can be directed to this market and support domestic products. This...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Afshin Fahimi, Hamid Shahbandarzadeh
Formato:	article
Lenguaje:	FA
Publicado:	University of Tehran 2021
Materias:	portfolio optimization social responsibility data envelopment analysis cross-efficiency conditional value at risk Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/5c3bd5eea5ec4741ac6f76c365570063
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:5c3bd5eea5ec4741ac6f76c365570063
record_format	dspace
spelling	oai:doaj.org-article:5c3bd5eea5ec4741ac6f76c3655700632021-11-14T05:49:38ZDeveloping the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products2008-58852423-536910.22059/imj.2021.316204.1007811https://doaj.org/article/5c3bd5eea5ec4741ac6f76c3655700632021-04-01T00:00:00Zhttps://imj.ut.ac.ir/article_84351_80f5cf9e0520bc5420805aa550d429ee.pdfhttps://doaj.org/toc/2008-5885https://doaj.org/toc/2423-5369Objective: Nowadays, the capital market is considered an important source of financing for companies and if a suitable model for portfolio selection by considering different preferences of investors is designed, the existing capital can be directed to this market and support domestic products. This study develops the Markowitz model to consider the non-financial preferences of investors in addition to financial indicators. Methods: Range Adjusted Measure (RAM) and Conditional Value at Risk (CVaR) model on Cross-efficiency were applied respectively to measure the Corporate Social Responsibility (CSR) score and risk, and then the multi-objective portfolio optimization model was proposed using the LP-Metric method. Results: Single-objective and multi-objective models (LP-Metric) with different powers were implemented in GAMS software. Examining the performance of these models using the Sharpe ratio showed that the single-objective models of maximizing returns and minimizing risk have the highest performance and the single-objective model of maximizing social responsibility have the lowest performance, respectively. The proposed model also meets at least 74.5 percent of the triple and contradictory goals according to the Sharpe ratio. Conclusion: While the proposed model optimizes the three objective functions simultaneously and establishing a trade-off between these conflicting goals, has obtained a good Sharpe score compared to other models and market portfolio and a suitable portfolio on a Pareto Front has been selected and introduced among the companies with maximum return and minimum risk that have a high score of social responsibility, and if the model is applied with more powers, it will provide more companies and scenarios to investors.Afshin FahimiHamid ShahbandarzadehUniversity of Tehranarticleportfolio optimizationsocial responsibilitydata envelopment analysiscross-efficiencyconditional value at riskManagement. Industrial managementHD28-70FAمدیریت صنعتی, Vol 13, Iss 1, Pp 53-79 (2021)
institution	DOAJ
collection	DOAJ
language	FA
topic	portfolio optimization social responsibility data envelopment analysis cross-efficiency conditional value at risk Management. Industrial management HD28-70
spellingShingle	portfolio optimization social responsibility data envelopment analysis cross-efficiency conditional value at risk Management. Industrial management HD28-70 Afshin Fahimi Hamid Shahbandarzadeh Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products
description	Objective: Nowadays, the capital market is considered an important source of financing for companies and if a suitable model for portfolio selection by considering different preferences of investors is designed, the existing capital can be directed to this market and support domestic products. This study develops the Markowitz model to consider the non-financial preferences of investors in addition to financial indicators. Methods: Range Adjusted Measure (RAM) and Conditional Value at Risk (CVaR) model on Cross-efficiency were applied respectively to measure the Corporate Social Responsibility (CSR) score and risk, and then the multi-objective portfolio optimization model was proposed using the LP-Metric method. Results: Single-objective and multi-objective models (LP-Metric) with different powers were implemented in GAMS software. Examining the performance of these models using the Sharpe ratio showed that the single-objective models of maximizing returns and minimizing risk have the highest performance and the single-objective model of maximizing social responsibility have the lowest performance, respectively. The proposed model also meets at least 74.5 percent of the triple and contradictory goals according to the Sharpe ratio. Conclusion: While the proposed model optimizes the three objective functions simultaneously and establishing a trade-off between these conflicting goals, has obtained a good Sharpe score compared to other models and market portfolio and a suitable portfolio on a Pareto Front has been selected and introduced among the companies with maximum return and minimum risk that have a high score of social responsibility, and if the model is applied with more powers, it will provide more companies and scenarios to investors.
format	article
author	Afshin Fahimi Hamid Shahbandarzadeh
author_facet	Afshin Fahimi Hamid Shahbandarzadeh
author_sort	Afshin Fahimi
title	Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products
title_short	Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products
title_full	Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products
title_fullStr	Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products
title_full_unstemmed	Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products
title_sort	developing the markowitz portfolio optimization model concerning investor non - financial considerations and supporting domestic products
publisher	University of Tehran
publishDate	2021
url	https://doaj.org/article/5c3bd5eea5ec4741ac6f76c365570063
work_keys_str_mv	AT afshinfahimi developingthemarkowitzportfoliooptimizationmodelconcerninginvestornonfinancialconsiderationsandsupportingdomesticproducts AT hamidshahbandarzadeh developingthemarkowitzportfoliooptimizationmodelconcerninginvestornonfinancialconsiderationsandsupportingdomesticproducts
_version_	1718429898659332096

Developing the Markowitz Portfolio Optimization Model Concerning Investor Non - financial Considerations and Supporting Domestic Products

Ejemplares similares