文章基本信息

标题：Portfolio Optimization: An Application of Moora Model through Stochastic Process
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作者：Kanwal Iqbal Khan ; Muhammad Abubakar Kabir ; MÃ¡rio Nuno Mata 等
期刊名称：Academy of Accounting and Financial Studies Journal
印刷版ISSN：1096-3685
出版年度：2021
卷号：25
期号：2
页码：1-28
语种：English
出版社：The DreamCatchers Group, LLC
摘要：Stock markets play a vital role in stimulating economic processes and development through diversification opportunities. Nowadays, purchasing financial instruments, especially stocks during this fluctuating market, is a back-breaker task for investors because of many sector specifications like Food, Auto Assembling, Fertilizer and Textile, etc. This study learns obstruction within the selection of sector and firms for investment to create an efficient portfolio in Pakistan because of the softness of data and miscommunication of economic performance, and plenty of economic models. Thirty-five sectors and five hundred plus companies are registered in the Pakistan Stock exchange, considering the volatile and high-risk market. This study has used a Multi-Criteria Decision-Making (MCDM) strategy by using Multi-Objective Optimization on the idea of Ratio Analysis to seek out the most effective sector and company’s financial performance based on the criteria. A review of literature indicates that these methods have not been applied earlier for selection stocks in Pakistan stock exchange. After finding the most effective and efficient performing sector and companies, made portfolio in custody with the most effective two sectors and made hybrid portfolio of those best sector using same criteria and each portfolio is consisted on less then and equal to ten company securities. Results indicate that best optimal portfolio is supported to investor requirements, value of the corporate, return of those companies and prices are top prioritized factor taken during this study. The findings are useful for each new investor and also for financial organization..
关键词：Portfolio Optimization;Multi-Criteria Decision Making;Ratio Analysis;Multi-Objective Optimization;Stochastic Proces