ارزیابی کارایی سبد سهام شرکت های صنایع غذایی: کاربرد رهیافت پرتفوی بندی مبتنی بر داده کاوی

•   آرشیو : نسخه تابستان 1399-جلد اول
•   نوع مقاله : پژوهشی
•   کد پذیرش : 12335
•   موضوع : موضوعی تعریف نشده!
• نویسنده/گان : سمانه غزالی
•   کلید واژه : سبدگردانی انجمنی سهام، بورس اوراق بهادار تهران، کارایی میانگین- واریانس.
•   Title : Evaluating the Efficiency of the Assets Portfolios of Food Industries Companies: Application of Portfolio Approach Based on Data Mining
•   Abstract :
  The objective of this paper is applying the portfolio approach based on data mining, association asset portfolio (AAP), for food industries companies to strengthen mean- variance efficiency. 18 active companies are empirically chosen to analyze the asset portfolio efficiency of food industries in Tehran stock exchange. Required data was gathered daily in period of 2009- 2019. In order to discover association rules and evaluate efficiency, this period was divided into two periods comprising a mining period and an evaluating period. The mining period is for mining potential association rules of candidate assets, while the evaluating period is for evaluating mean- variance efficiency of asset portfolios. The findings of this study suggest that mining portfolio provide the four association rules between the assets of food industry companies, taking into account the minimum support and confidence criteria is respectively 0.15 and 0.90. As well as, association asset portfolio (AAP) has a larger sharpe ratio than correlation asset portfolio (CAP). Therefore, the AAPs outperform other traditional portfolio constructed by the Pearson's correlation model that provides a basket consisting two assets of Ghbeshahr and Ghmarg by correlation coefficient of 0.802. So, the mining association rules are useful for recommending candidate assets for food industrial investors, to help them establish efficient portfolios.
•   key words :
  Association asset portfolio, Tehran stock exchange, Mean-variance efficiency
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•  صفحات : 113-125
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