University of Kerbala
اسم الباحث : ساره عارف ابنية جياد الجبوري
اسم المشرف : ميثم ربيع هادي الحسناوي
الكلمات المفتاحية :
الكلية : كلية الادارة والاقتصاد
الاختصاص : العلوم المالية والمصرفية
سنة نشر البحث : 2021
تحميل الملف : اضغط هنا لتحميل البحث
الخلاصة :
أﻋﻄـــﻰ ﻣـــﺎرﻛﻮﯾﺘﺰ وﺻـــﻔﺎً ﻟﻠﺤـــﺪ اﻟﻜﻔـــﺆ اﻟـــﺬي ﺗﻘـــﻊ ﻋﻠﯿـــﮫ ﻣﺠﻤﻮﻋـــﺔ اﻟﻤﺤـــﺎﻓﻆ اﻟﻜﻔـــﺆة واﻟﺘـــﻲ ﺗﻔﻀـــﻲ اﻟـــﻰ اﻋﻠـــﻰ ﻋﺎﺋـــﺪ ﻋﻨـــﺪ ﻣﺴـــﺘﻮى ﻣﻌـــﯿﻦ ﻣـــﻦ اﻟﻤﺨـــﺎطﺮة او اﻟﺘـــﻲ ﺗﻔﻀـــﻲ اﻟـــﻰ ادﻧـــﻰ ﻣﺨـــﺎطﺮه ﻋﻨـــﺪ ﻣﺴـــﺘﻮى ﻣﻌـــﯿﻦ ﻣـــﻦ اﻟﻌﺎﺋـــﺪ. وﻋﻠـــﻰ اﻟـــﺮﻏﻢ ﻣـــﻦ اﻟﺘﻄـــﻮر اﻟـــﺬي اﺣﺪﺛﺘـــﮫ ﻧﻈﺮﯾـــﺔ اﻟﻤﺤﻔﻈـــﺔ اﻟﺤﺪﯾﺜـــﺔ ﻣﻨـــﺬ ظﮭﻮرھـــﺎ اﻟـــﻰ اﻻن، اﻻ ان ﺗﻄﺒﯿﻘﮭـــﺎ اﻟﻌﻤﻠـــﻲ ﯾﻜﺘﻨﻔـــﮫ ﻋـــﺪة ﺻـــﻌﻮﺑﺎت ، ﻣـــﻦ ھـــﺬه اﻟﺼـــﻌﻮﺑﺎت ﺗﻌﻘﯿــــﺪات ﺣﺴــــﺎﺑﯿﺔ ﺗﺘﻤﺜــــﻞ ﻓــــﻲ ﺻــــﻌﻮﺑﺔ إﯾﺠــــﺎد ﺣــــﻞ ﻟﻤﺸــــﻜﻠﺔ اﻟﺒﺮﻣﺠــــﺔ اﻟﺘﺮﺑﯿﻌﯿــــﺔ. وﻟﻌــــﻞ ھــــﺬه اﻟﺪراﺳــــﺔ ﺟــــﺎءت ﻟﺘﺴــــﻠﻂ اﻟﻀــــﻮء ﻋﻠــــﻰ ھــــﺬا اﻟﺠﺎﻧــــﺐ . اذ اﻗﺘﺮﺣــــﺖ ھــــﺬه اﻟﺪراﺳــــﺔ اﺳــــﺘﻌﻤﺎل ﺧﻮارزﻣﯿـــﺔ ﺗﺪﻧﯿـــﺔ درﺟـــﺔ اﻻﻧﺤـــﺪار اﻟﻤﻌﻤﻤـــﺔ )GRG( اﻟﻼﺧﻄﯿـــﺔ ﻟﯿـــﺘﻢ ﻓـــﻲ ﺿـــﻮﺋﮭﺎ ﺣـــﻞ ﻣﺸـــﻜﻠﺔ اﻟﺒﺮﻣﺠـــﺔ اﻟﺘﺮﺑﯿﻌﯿـــﺔ وﻋﻠﯿـــﺔ اﻟﺘﻮﺻـــﻞ اﻟـــﻰ اﻟﺤـــﺪ اﻟﻜﻔـــﺆ وﺑﻤـــﺎ ﯾﻤﻜـــﻦ اﻟﻤﺴـــﺘﺜﻤﺮﯾﻦ ﻣـــﻦ ﺗﻌﻘـــﺐ ھـــﺬا اﻟﺤﺪ ﺑﯿﺎﻧﯿﺎًوﻣـــﻦ اﺟـــﻞ رﺳـــﻢ اﻟﺤـــﺪ اﻟﻜﻔـــﺆ ﻟﻤـــﺎرﻛﻮﯾﺘﺰ ﺑﺎﺳـــﺘﻌﻤﺎل ھـــﺬه اﻟﺨﻮارزﻣﯿـــﺔ ﻓﻘـــﺪ ﺟـــﺮى ﺗﺤﻠـــﯿﻼ ﻣﻔﺼـــﻼ ﻟﻌﯿﻨــــﺔ اﻟﺪراﺳــــﺔ واﻟﻤﺘﻤﺜﻠــــﺔ ب 39 ﻣــــﻦ اﺻــــﻞ 130ﺷــــﺮﻛﺔ ﻣﺪرﺟــــﺔ ﻓــــﻲ ﺳــــﻮق اﻟﻌــــﺮاق ﻟــــﻸوراق اﻟﻤﺎﻟﯿـــﺔ وﻟﻠﻤـــﺪة ﻣـــﻦ ﺷـــﮭﺮ ﻣـــﺎرس 2015 وﻟﻐﺎﯾـــﺔ ﺷـــﮭﺮ ﯾﻨـــﺎﯾﺮ 2021 واﻟﺘـــﻲ ﺗـــﻢ اﺧﺘﺒﺎرھـــﺎ ﻋﻠـــﻰ وﻓـــــﻖ ﺷـــــﺮوط ﻣﺤـــــﺪده ﻣﻌﯿﻨـــــﺔ .وﺑﺎﺳـــــﺘﻌﻤﺎل ﻣﺤـــــﺪد ﻣـــــﻦ اﻹﺟـــــﺮاءات واﻷﺳـــــﺎﻟﯿﺐ اﻟﻤﺎﻟﯿـــــﺔ واﻟﺮﯾﺎﺿــــﯿﺔ واﻻﺣﺼــــﺎﺋﯿﺔ ﻓﻘــــﺪ ﺗــــﻢ ﺑﻨــــﺎء )27( ﻣﺤﻔﻈــــﺔ ﻛﻔــــﺆة واﺳــــﺘﺨﺪام ﻋﺎداﺗﮭــــﺎ و ﻣﺨﺎطﺮﺗﮭــــﺎ ﻛﺄﺣــــﺪاﺛﯿﺎت ﻟﺮﺳــــﻢ اﻟﺤــــﺪ اﻟﻜﻔــــﺆ ﻟﻤــــﺎرﻛﻮﯾﺘﺰ . وﺑﻨــــﺎءً ﻋﻠﯿــــﺔ ﺧﻠﺼــــﺖ اﻟﺪراﺳــــﺔ اﻟــــﻰ ﻋــــﺪد ﻣــــﻦ اﻻﺳــــﺘﻨﺘﺎﺟﺎت وﻟﻌــــﻞ أھﻤﮭــــﺎ : اﺛﺒﺘــــﺖ اﻟﻨﺘــــﺎﺋﺞ اﻟﺘﺠﺮﯾﺒﯿــــﺔ ﻣﻘــــﺪرة واﺿــــﺤﺔ وﻣﻤﯿــــﺰة ﻟﻠﺨﻮارزﻣﯿــــ ﻓـــﻲ ﺑﻨـــﺎء ﻣﺤـــﺎﻓﻆ ﻛﻔـــﺆة ورﺳـــﻢ اﻟﺤـــﺪ اﻟﻜﻔـــﺆ ﻟﻤـــﺎرﻛﻮﯾﺘﺰ واﻟـــﺬي ﯾﺸـــﺘﻤﻞ ﻋﻠـــﻰ ﻣﺤـــﺎﻓﻆ ﺗﺘﻔـــﻮق ﻓـــﻲ أداﺋﮭﺎ ﻋﻠﻰ أداء ﻣﺤﻔﻈﺔ اﻟﺴﻮق وﻗـــﺪ ﺧﺮﺟــــﺖ اﻟﺪراﺳـــﺔ ﺑﺎﻟﻌﺪﯾــــﺪ ﻣـــﻦ اﻟﺘﻮﺻــــﯿﺎت ﻟﻌــــﻞ ﻣـــﻦ أھﻤﮭــــﺎ : ﺿـــﺮورة ﺗﺒﻨــــﻲ اﻟﻤﺴــــﺘﺜﻤﺮﯾﻦ ﻓـــﻲ ﺳـــﻮق اﻟﻌـــﺮاق ﻟـــﻸوراق اﻟﻤﺎﻟﯿـــﺔ ﻟﻤﺨﺮﺟـــﺎت ھـــﺬه اﻟﺪراﺳـــﺔ واﻋﺘﻤﺎدھـــﺎ ﻛـــﺪﻟﯿﻞ ﻋﻤـــﻞ ﻟﮭـــﻢ ، اذ ان ھــــﺬه اﻷداة اﻟﻤﻤﯿــــﺰة ﺗﻤﻜــــﻨﮭﻢ وﺑﻄﺮﯾﻘــــﺔ ﯾﺴــــﯿﺮة ﻣــــﻦ ﺑﻨــــﺎء ﻣﺤــــﺎﻓﻆ ﻛﻔــــﺆة ورﺳــــﻢ اﻟﺤــــﺪ اﻟﻜﻔــــﺆ ﻟﻤــــﺎرﻛﻮﯾﺘﺰ دون اﻟﺤﺎﺟــــﺔ ﻟﺘﻌﻘﯿــــﺪات اﻟﺒﺮﻣﺠــــﺔ اﻟﺘﺮﺑﯿﻌﯿــــﺔ وﺑــــﺬات اﻟﻮﻗــــﺖ ﻓــــﺄن أداء ھــــﺬه اﻟﻤﺤــــﺎﻓﻆ اﻛﻔﺄ واﻓﻀﻞ ﺑﻜﺜﯿﺮ ﻣﻦ أداء ﻣﺤﻔﻈﺔ اﻟﺴﻮق اﻟﻜﻠﻤﺎت اﻟﻤﻔﺘﺎﺣﯿﺔ : ﻧﻈﺮﯾﺔ اﻟﻤﺤﻔﻈﺔ اﻟﺤﺪﯾﺜﺔ ،اﻟﺤﺪ اﻟﻜﻔﺆ ، اﻻﻣﺜﻠﯿﺔ ، طﺮﯾﻘﺔGRG اﻟﻼﺧﻄية .
Solve the problem of drawing the efficient frontier of Markowitz using the nonlinear GRG method
Abstract :
Since 1952, the investment community began to actually deal with the theory behind the concept of diversification, when Harry Markowitz published, which laid the foundation for what is now known as the Inheritance Theory. He gave a mark of good conduct. For example, difficulty stage having difficulty finding difficulty in finding difficulty in difficulty. Perhaps this photo is from the side together. This study approached the use of the nonlinear generalized gradient gradient (GRG) algorithm in the interpolation mode in quadratic programming with the aim of reaching the maximum number of users in the crossing attempt. In order to draw competency using this algorithm, a detailed analysis of the study was carried out, represented by 39 out of 130 companies listed on the Iraq Stock Exchange for the period from March 2015 to January 2021. Financial, mathematical and statistical have been building (27) efficient portfolios and using their habits. Risks and Evolution Events of Markowitz Inefficiency. Based on the results of the study, the study concluded, and collected portfolios that excel in the first: The free and distinctive experimental results of the algorithm in building efficient portfolios and drawing the threshold for Markowitz proved that they are investing in portfolios that outperform the market portfolio. The study came out with many financial activities in the Iraq Stock Exchange in financing them as a guide to work, as this distinctive image enables them, in an easy way, to build efficient portfolios and draw the efficiency of Markowitz, the need to amend the quadratic programming and time, so see the performance of these portfolios more efficiently and best requests from the market portfolio. Key words: modern simulation theory, efficiency limit, optimization, nonlinear GRG method.
