Construction of Fundamental and Technical Portfolio using a Multivariate Approach

Document Type : Research Paper

Authors

Department of Industrial Engineering, Iran University of Science & Technology,Tehran, Iran

Abstract

This paper applied the Measure of Attractiveness of Investment (MAI) as a representative indicator to enable investors to choose stocks according to attractiveness measured by some financial ratios of companies. It is integrated with  as the inherent risk of the market to construct a portfolio accounting for the companies’ fundamental strength and the investment’s long-term character. One may not know what the future investment environment will look like, but one can be better prepared for whatever comes through taking into account the uncertainty. The underlying key contribution of this study is related to the integration of MAI and  to construct a portfolio based on the companies’ fundamental ratios and attractiveness of investments’ long-term measures under uncertain conditions. To overcome the uncertainty, the Bertism and Sim algorithm is utilized which has some advantages such as linearity and the possibility of the adjusting protection level regarding the uncertainty degree. The empirical example shows that the proposed approach can be well implemented to deal with portfolio selection in uncertain conditions.

Keywords

Main Subjects

References

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Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)
Volume 16, Issue 4
October 2023
Pages 1011-1023

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