چكيده به لاتين
Portfolio optimization is one of the most important issues in the field of financial and investment issues and has many applications in the field of capital management. Optimization means that you increase the efficiency of the portfolio and reduce its risk. In fact, there are two things to consider when optimizing your portfolio: increasing returns and reducing risk. In financial matters, a stock portfolio can be understood as a combination or a set of investments held by an institution or an individual. Choosing a stock portfolio to maximize profits is one of the main concerns of investors in the financial markets. Current methods are not effective in selecting the optimal portfolio. In this research, the application of several stock-related factors, called development factors, to portfolio selection is proposed and reviewed. These factors, including traditional factors such as risk and return, are shown as the goals of ideal weighted planning models. For this purpose, the financial ratios extracted from the financial statements have been studied using data envelopment analysis technique and 6 important groups of banks, insurance, machinery and electrical equipment, petrochemical, refining and food industries have been selected and a total of 26 companies have been selected. The obtained portfolios for the proposed models are compared with each other and with the industrial average index of Tehran Stock Exchange. After identifying stocks with a suitable foundation and examining different scenarios, the optimal stock portfolio should be formed using the proposed model in conditions of uncertainty. The results of the CGP strongly support the application of extended factors to portfolio selection problems and the assumption of decision-making priorities and interests.
