A Hybrid Approach for Economic Value Added and Dividends in Portfolio Optimization Using Goal Programming
One of the essential actions for perfect investment in the stock market is to consider various criteria in stock selection. One of these criteria is economic value added. By combining risk and return measures with economic value added, dividends and kurtosis and skewness coefficients; and using goal...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2018-06-01
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| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_21354_d6946735d4b5173fe252fdfd5f7f7e44.pdf |
| Summary: | One of the essential actions for perfect investment in the stock market is to consider various criteria in stock selection. One of these criteria is economic value added. By combining risk and return measures with economic value added, dividends and kurtosis and skewness coefficients; and using goal programming, a model that can lead to the most optimal portfolio can designed. The analysis of hierarchical process (AHP) was used to calculate the importance of the model criteria. In this study, comparison of the results was done between the ideal of economic value in the absence aspirations of dividends and vice versa and presence of both the ideals and Markowitz model. The research findings showed that the proposed model of this study has a higher return to risk ratio, compared to other models tested in this study such as Markowitz model, and subsequently the proposed model leads to a greater return. |
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| ISSN: | 2383-1189 2383-1189 |