7371

6877

كارشناسي ارشد

برنامه ريزي سيستم هاي اقتصادي

اصفهان: دانشگاه صنعتي اصفهان، دانشكده صنايع و سيستم ها

1391

پانزده، 151ص.: مصور، جدول، نمودار

ص.ع. به فارسي و انگليسي

فريماه مخاطب رفيعي

رضا حجازي

18/9/91

اكبر توكلي، معدي علينقيان

1396/09/21

كتابنامه

صنايع و سيستم ها

مهندسي صنايع و سيستم ها

ID6877

به فارسي و انگليسي: قابل رويت در نسخه ديجيتالي

A Compound Strategy for Portfolio Management in Tehran Exchange Market Seyed Mahdi Mirghaderi sm mirghaderi@in iut ac ir Date of Submission 2012 05 18 Department of Industrial Engineering and System Isfahan University of Technology Isfahan 84156 83111 Iran Degree M Sc Language Farsi Supervisor Farimah Mokhatab Rafiei farimah@cc iut ac ir Abstract A mutual fund is a company that brings money together from people and invests it in portfolio and manages portfolio trading Given the complexity of trading the use of a trading system to identify Portfolio management is always regarded by these funds Transactions based on an efficient system help funds managers to make decisions timely efficient and compatible with funds objectives A trading system sets clear guidelines for determining four vital components of transactions which are trading case amount and the times of buying and selling In designing a trading system for stock mutual funds all components of the system should be made in a way that fits the constraints and characteristics of that financial institution In this thesis a combined multi step strategy is proposed to be used in the funds trading system In the first step successful industries are selected from the 10 major industries stocks That selection is made with a fundamental approach and the application of MCDM method and PPROMETHHE model For the beginning Effective criteria should be specified for industrial returns Because of uncertain criteria there is no possibility of using common MCDM models And the decision should be made in probable conditions For this purpose an integrated approach of planning scenarios and PROMETHEE models has been used In This approach by defining scenarios uncertain conditions are converted into certain conditions and decision making is going to be done in this situation In the second step successful companies are chosen from the selected industries That selection is made with a fundamental approach and the application of MCDM method and PPROMETHHE model For this purpose the three following sub model of risk return and liquidity are used In each sub model the criteria which are effective on the objectives are specified And Companies are ranked regarding the criteria The final ranking results with the integration of three sub models are done by Average Rating In the third step the optimal allocation to companies is determined For This purpose the optimization model is used in the company level This model aims to minimize the risk and maximize the liquidity and return of the portfolio In the final step multi level strategy and a technical approach is used for determining opportune transaction times In this strategy warnings are announced within a few steps by Technical indicators And those warnings should be consecutive and should confirm each other For this purpose short term and long term Moving Average and RSI indicator are used With any of those warnings one part of the desired transaction volume should be traded In order to increase the functional aspect of the proposed system Strategy process has been implemented in MATLAB environment in a software format that enables users without doing the calculations and solely with preparing software documents and information required to have suggested Results Mutual funds analysts can exploit interactive comprehensive practical approach which is consistent with the restrictions and circumstance of Funds for the fund management transactions with the use of combined complex trading systems and the provided software Keywords Trading system MCDM Scenario Planning Fundamental Analysis Technical Analysis

فريماه مخاطب رفيعي

رضا حجازي

اكبر توكلي، معدي علينقيان