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گواهی نمایه سازی مقاله Prospective Clustering Tehran Stocks Exchange for Portfolio Management

عنوان مقاله: Prospective Clustering Tehran Stocks Exchange for Portfolio Management
شناسه (COI) مقاله: MRMEA02_421
منتشر شده در دومین کنفرانس بین المللی پژوهش های نوین در مدیریت، اقتصاد و حسابداری در سال ۱۳۹۴
مشخصات نویسندگان مقاله:

Alireza Kheyrkhah - PhD Candidate, Department of Management and Economic, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran
Mohammad Ali Afshar Kazemi - Department of Industrial Management, Tehran Central Branch, Islamic Azad University, Tehran, Iran
Fereydoon Rahnamay Roodposhti - Department of Management and Economic, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran

خلاصه مقاله:
Clustering methods commonly use the past data, but this paper has tried to use prospective data and compare to former. After using time series methods to create prediction model for stocks, they clustered by k-means, fuzzy c-means and self-organized maps (SOM). In addition, all stocks were clustered by those methods. After clustering, the stocks could be selected from these groups for building a portfolio. Portfolios optimized by Markowitz model to impose the lowest risk to investor for a certain return, and the best portfolio were selected by Sharp Ratio. The following indicators, return, standard deviation, P/E, Beta, number of buyers, number of deals and value of transaction have been used at different times from the Tehran Stock Exchange for April 2010 to April 2014. Result depicts that retrospective clustering present the better portfolio compared to prospective clustering, and k-means creates the most compact cluster compared to others.

کلمات کلیدی:
Portfolio Management, Time Series Regression, K-means Clustering, Self-organized maps (SOM), Fuzzy C-means

صفحه اختصاصی مقاله و دریافت فایل کامل: https://www.civilica.com/Paper-MRMEA02-MRMEA02_421.html