محمد پرخيدزيگساري

The paramount concern of each discerning investor revolves around the meticulous selection of a securities portfolio attaining the zenith of desirability. This paramount issue is congruent with the sophisticated task of electing an apt stock assemblage from the realm of conceivable stock assemblages, classically designated as the Portfolio selection conundrum. Furthermore, determining the optimal allocation of funds to each individual stock and forming an optimal stock portfolio assumes a pivotal role within the sphere of investment strategy. In corollary, the determination of the judicious utilization of methodologies for corporate stock analysis, including fundamental and technical analysis, alongside the rigorous assessment of the efficacy of each, looms large among the preoccupations of investors seeking the optimal selection and refinement of their investment portfolios. In this research endeavor, the inaugural phase, designated as Portfolio selection, engenders the rigorous eva‎luation and selection of chosen corporate equities via the Data Envelopment Analysis (DEA) and fundamental analysis criteria. Subsequently, in the succeeding phase designated Portfolio Optimization, an avant-garde investment portfolio takes form. This is achieved through the judicious application of Integer Linear Programming under conditions of fuzzy uncertainty, while steadfastly considering criteria germane to the Modern Portfolio Theory (return and risk metrics), in conjunction with the incorporation of fundamental analysis criteria. In summation, this research aspires to cultivate a comprehensive model of discernment capable of accommodating the quintessential selection criteria for investment portfolio selection and, concomitantly, the meticulous optimization thereof. The final results of the research, with its model executed in two investment scenarios of risk-averse and risk-tolerant investors, demonstrate a significant profitability compared to the average market return in the target time frame for both scenarios.

بهينه سازي سبد سهام , تحليل بنيادي , برنامه ريزي آرماني , برنامه ريزي فازي , تحليل پوششي داده‌ها

Portfolio Optimization , Fundamental Analysis , Goal Programming , Fuzzy Programming , Data Envelopment Analysis

Mohammad Parkhid

Emran Mohammadi