این سایت در حال حاضر پشتیبانی نمی شود و امکان دارد داده های نشریات بروز نباشند
Journal of Industrial and Systems Engineering، جلد ۱۴، شماره ۲، صفحات ۲۹۸-۳۲۱
عنوان فارسی
چکیده فارسی مقاله
کلیدواژه‌های فارسی مقاله
عنوان انگلیسی Investigating unpopularity of utility-based approaches in portfolio optimization; introducing an extension to the UTASTAR method
چکیده انگلیسی مقاله Despite the passing of more than 30 years from introducing the UTilitès-Additives (UTA) method and its extensive presentation in academic communities, this method is still not very popular among portfolio managers. Many portfolio managers still question the usefulness of the UTA method and prefer to rely on other multi-criteria decision making (MCDM) approaches. Therefore in this study, we examined the features of one of the most popular variants of the UTA methods, called UTASTAR, and on this basis, we have been developed this traditional approach in such a way that it would have more ability to meet the expectations of portfolio managers. In this way, to demonstrate how the proposed method can be applied in practice it is implemented in Tehran stock exchange (TSE) and to validate its efficiency, we designed an experiment, which is a novel approach in operations research but common in psychology and experimental economics. From the experimental results, we can extract that the outstanding features of the proposed method, compared to the original UTASTAR method are as follows: (1) it can provide a more accurate estimation of the portfolio managers’ attitude because in addition to the sequential preferences of the alternatives it also considers the relative preferences; (2) it has always feasible solutions although it requires more comparison data and (3) it allows portfolio managers to observe the inconsistency of their decisions and take corrective action if desired.0
کلیدواژه‌های انگلیسی مقاله Multi-criteria decision making,preference disaggregation analysis,portfolio optimization,Behavioral Finance
نویسندگان مقاله Seyed Erfan Mohammadi |
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

Emran Mohammadi |
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

Ahmad Makui |
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

Kamran Shahanaghi |
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

نشانی اینترنتی https://www.jise.ir/article_154110_fff34a3e4d570a5c5913cb77a594c66a.pdf
فایل مقاله فایلی برای مقاله ذخیره نشده است
کد مقاله (doi)
زبان مقاله منتشر شده en
موضوعات مقاله منتشر شده
نوع مقاله منتشر شده
برگشت به: صفحه اول پایگاه   |   نسخه مرتبط   |   نشریه مرتبط   |   فهرست نشریات