چكيده به لاتين
One of the most important issues in the financial world, is selecting a portfolio. Therefore, financial managers are make their decision in this area the most compliance with the real world. In the real world, the strategies for selecting the stock portfolio are often multi-period, and the investor must reconsider its position over time. But most of the classical models are considered perfectly rational. They do not measure and analyse the psychological aspects of economic activities, such as intentions and motivations, attributes, trends, and expectations affecting economic decisions. In these models, the investor is required to remain in the stock till the end of the investment period, but in the real world it is not. Rolling optimization seeks to separate the time periods and impact of the psychological aspects of individual investment in the mathematical model, this effect is carried out using a risk factor.
On the other hand, uncertainties in today’s complex world are inseparable components of daily problems. Considering the uncertainties in real issues, a more reliable level of results can be obtained. Due to the availability of stock prices in the last period as well as considering the subject literature, fuzzy scenarios were considered as uncertainties in the mathematical model. The entropy measure is used to control the risk of the portfolio and the transaction cost per period is considered.
The results show that using rolling optimization, the model can control the risk of the portfolio in all periods. Using risk factor, psychological aspects such as risk aversion and risk seeking are considered. This has led to risk of sharing in accordance with the desirability of investors. In the case study, the petrochemical stocks of Tehran exchange were considered.
