eva‎luation of different portfolio optimization models based on factor investing using a combined approach of Multi-Criteria decision making in a specific industry

1/1/1900 12:00:00 AM

Portfolio optimization is considered one of the important issues in the field of finance. Identifying and considering various factors affecting stock returns in order to make successful investments in the capital market is essential. Investors, through precise analysis and identification of the factors affecting return and risk, will be able to make better decisions regarding their investments in the capital market. In this study, key factors such as Beta, Price-to-Earnings Ratio (P/E), Return on Equity (ROE), Return on Assets (ROA), and Net Profit Margin were identified and weighted using the DEMATEL technique. Subsequently, companies listed on the Tehran Stock Exchange in the chemical products industry were ranked based on these factors using the ELECTRE III method for the period from December 2022 to December 2023. Finally, the optimal stock portfolio was constructed using mathematical models while considering various risk metrics (variance, semi-variance, and standard deviation). The results of this study showed that during the study period, these portfolios achieved higher returns than the overall index while bearing lower risk. Furthermore, the findings indicate that utilizing a factor investing approach along with Multi-Criteria decision making techniques and optimization models can lead to significant improvements in increasing returns and reducing investment risks.

بهينه¬سازي سبد سرمايه¬گذاري، سرمايه‌گذاري عاملي، بازدهي سهام، تصميم‌گيري چند معياره، تكنيك ديمتل، تكنيك الكترهIII، سنجه¬هاي ريسك

Portfolio Optimization, Factor Investing, Stock Returns, Multi-Criteria Decision Making, DEMATEL Technique, ELECTRE III Technique, Risk Measures

Pegah Khazaei

Dr. Ahmad Makui