طراحی مدل ریاضی-فازی سنجش ریسک پذیری در حوزه سرمایه گذاری یک صندوق ثروت ملی

قلی پور دمیه, مجتبی; میرمحمدصادقی, علیرضا; رستگار سرخه, محمدعلی

doi:10.22034/sep.2025.2065138.1343

طراحی مدل ریاضی-فازی سنجش ریسک پذیری در حوزه سرمایه گذاری یک صندوق ثروت ملی

مقالات آماده انتشار

نوع مقاله : پژوهشی

نویسندگان

مجتبی قلی پور دمیه ¹

علیرضا میرمحمدصادقی ²

محمدعلی رستگار سرخه ³

¹ دانشجوی دکتری، دانشکده فنی و مهندسی، دانشگاه جامع امام حسین(ع)، تهران، ایران

² نویسنده مسئول: دانشیار، دانشکده فنی و مهندسی، دانشگاه جامع امام حسین(ع)، تهران، ایران

³ استادیار، دانشکده مهندسی صنایع، دانشگاه تربیت مدرس، تهران، ایران

10.22034/sep.2025.2065138.1343

چکیده

این تحقیق باهدف طراحی مدلی ریاضی-فازی برای سنجش و بهبود ریسک‌پذیری صندوق توسعه ملی ایران در حوزه سرمایه‌گذاری تحت رویکرد پروژه محور انجام‌شده است. بدین منظور با مطالعه تحقیقات پیشین و تجارب پانزده صندوق ثروت ملی برتر جهانی، مدلی ریاضیاتی مبتنی بر مفهوم میانگین-واریانس و با اهداف: حداکثر سازی بازده در سطح معینی از ریسک، و حداقل سازی ریسک در سطح معینی از بازده، ارائه و پیاده‌سازی شده است. یافته‌های حل مدل در پایتون با استفاده از نرخ بازدهی اولیه 318 پروژه تأمین مالی/مشارکت شده صندوق از ابتدای تأسیس تا انتهای سال 1403 نشان داد که میانگین بازده سالانه سبد 2/3%، حداکثر بازده سالانه سبد 84/5%، حداقل ریسک سبد 38/5 (از ده)، و عملکرد نسبی بازده-ریسک صندوق 12/1 می‌باشد. بعلاوه، نتایج آزمون استرس بر عملکرد صندوق تحت سناریوهای بحرانی (رکود و رونق اقتصادی، و تورم) نشان‌دهنده پایداری مدل پیشنهادی در شرایط مختلف اقتصادی است. همچنین، در این تحقیق یک سیستم تصمیم‌گیری فازی پیشنهادی شامل پارامترهای: میزان ریسک‌پذیری صندوق (RT)، حداکثر بازدهی سبد صندوق (R)، حداقل ریسک سبد صندوق (δ)، سطح ریسک پروژه (PR) و سطح ریسک متقاضی (T)، برای کمک به تصمیم‌گیری مدیران ارشد صندوق طراحی و پیاده‌سازی شد.

تازه های تحقیق

مدل ریاضی مبتنی بر مفهوم میانگین-واریانس با اهداف: حداکثر سازی بازده در سطح معینی از ریسک، و حداقل سازی ریسک در سطح معینی از بازده می‌باشد.
سیستم تصمیم‌گیری فازی پیشنهادی شامل سطح ریسک‌پذیری صندوق، و ریسک متقاضی و پروژه بود.
از ابتدای تأسیس صندوق تا انتهای سال 1403؛ میانگین بازده سالانه 2/3%، حداکثر بازده سالانه 84/5%، حداقل ریسک سبد صندوق 38/5 (از 10) بوده است.

کلیدواژه‌ها

سنجش و بهبود ریسک پذیری

صندوق ثروت ملی

صندوق توسعه ملی ایران

سیستم تصمیم گیری فازی

رویکرد پروژه محور

موضوعات

مدیریت ریسک

عنوان مقاله English

Designing a Mathematical-Fuzzy Model for measuring risk-taking in Investment Scope of a Sovereign Wealth Fund

نویسندگان English

Mojtaba Gholipour-Domyeh ¹

Sayyed Alireza Mir-Mohammad Sadeghi ²

Mohammad Ali Rastegar-Sorkheh ³

¹ Ph.D. Student, Faculty of Engineering, Imam Hossein University, Tehran, Iran

² Corresponding author: Associate Professor, Faculty of Engineering, Imam Hossein University, Tehran, Iran

³ Assistant Professor, Faculty of Industrial Engineering, Tarbiat Modarres University, Tehran, Iran

چکیده English

This research aims to design a mathematical-fuzzy model to measure and improve the risk-taking of the National Development Fund of Iran in the field of investment under a project-oriented approach. To this end, by studying previous research and the experiences of fifteen top global sovereign wealth funds, a mathematical model based on the concept of mean-variance and with the goals of maximizing returns at a given level of risk, and minimizing risk at a given level of return, has been presented and implemented. The findings of solving the model in Python using the initial rate of return of 318 projects financed/participated in by the fund from the beginning of its establishment to the end of 1403 showed that the average annual return of the portfolio is 3.2%, the maximum annual return of the portfolio is 5.84%, the minimum risk of the portfolio is 5.38 (out of 10), and the relative return-risk performance of the fund is 1.12. In addition, the results of stress testing on the fund's performance under critical scenarios (economic recession and boom, and inflation) indicate the stability of the proposed model in different economic conditions. Also, in this research, a proposed fuzzy decision-making system including the parameters: fund risk tolerance (RT), maximum fund portfolio return (R), minimum fund portfolio risk (δ), project risk level (PR), and applicant risk level (T) was designed and implemented to help the fund's senior managers make decisions.

کلیدواژه‌ها English

Measuring and Improving Risk-Taking

Sovereign Wealth Funds

National Development Fund of Iran

Fuzzy Decision-Making System

Project- Oriented Approach

Copyright © Mojtaba Gholipour-Domyeh, Sayyed Alireza Mir-Mohammad Saddeghi, Mohammad Ali Rastegar-Sorkhe

License

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