نوع مقاله : پژوهشی
نویسندگان
1 دانشیار مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی
2 کارشناس ارشد مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
The aim of this paper is to explain the financial markets fluctuations by strategic pattern of investment behaviors, together affected by different situations. The key point is finding the strategic patterns of changes in exchange rate, interest rate and other macro-economic indicators envisage economic environment and Commanders financial markets by fluctuations. These variations will affect expectations and demands of entrepreneurs, including investors, especially two indicators, degree of expected return and risk. Changes in the expected return and the degree of risk, put investors in that position in order to achieve the expected return performance with attention to new market conditions and the degree of their acceptable risk, choose their strategies for make some changes in the combination of their portfolio and rebalanced it. Portfolio rebalancing is one of the reachable strategies could be used by investors to review their investments ploy. In this paper, with attention to portfolio rebalancing as a proper strategy to make coincidence in investor’s portfolios simultaneously, we regard the variations in expected rate of return and degree of acceptable risk, affected by market conditions inflections, thus we design and to develop a fuzzy linear programming model. To achieve the research strategic model, the three key components: risk, expected return and liquidity degree on equities have been used to design model and represent it. Also, consider to the importance role of transaction costs to gain the expected return in return calculating process of portfolio, we spot it in our model. In order to test the designed model, data and information of traded listed stock of Tehran exchange market, during 1384 - 1387. Then we import the different subjective satisfaction level of investors to test the model efficiency. The results show that the designed model could be use for the subjective satisfaction level of investors about the expected return, risk and liquidity of its portfolio, as well as possible and reach to the different strategy of portfolio rebalancing for each investor with different satisfaction level.
کلیدواژهها [English]
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