Performance Enhancement Model of Stock Market Portfolio of Iran Social Security Organization

Ranjbarfallah, Mohammad Reza; Mosavi Jahromi, Yeganeh; Abolhasani, Asghar; Johari, Abbas

doi:10.61186/ijf.2024.377333.1391

Performance Enhancement Model of Stock Market Portfolio of Iran Social Security Organization

Document Type : Original Article

Authors

Mohammad Reza Ranjbarfallah ¹

Yeganeh Mosavi Jahromi ²

Asghar Abolhasani ²

Abbas Johari ³

¹ Associate Prof., Department of Economics, Payam Noor University, Tehran, Iran.

² Prof., Department of Economics, Payam Noor University, Tehran, Iran.

³ Ph.D. Candidate of Payam Noor University, Tehran, Iran.

10.61186/ijf.2024.377333.1391

Abstract

This paper primarily aims to introduce a model to enhance the performance of the stock market portfolio of the Iran Social Security Organization. Performance indices were measured using documentary-based research and expert interviews based on theoretical saturation to evaluate the stock portfolio performance of the Iran Social Security Organization relative to companies listed on the Tehran Stock Exchange (T.S.E.) during 2016-2020. The Delphi technique was employed to ensure the validity of the indices. Drawing on the analytical hierarchy process (A.H.P.), the indices were prioritized and ranked based on the weight vector. The Iran Social Security Organization was found to have poor stock portfolio performance based on risk, return, liquidity, Sharpe ratio, and T.O.P.S.I.S. Hence, several solutions were identified based on expert interviews through thematic analysis to improve the stock portfolio performance of the Iran Social Security Organization. The solutions were validated through the Delphi technique, prioritizing and quantifying the performance improvement indices using the A.H.P. Based on expert views and T.O.P.S.I.S., a stock portfolio performance improvement model was proposed for the Iran Social Security Organization. Handling the non-profitable, low-return, and out-of-strategy companies is the optimal solution for the portfolio performance improvement of the I.S.S.O., with portfolio modification based on liquidity, effective stock market-making, return-based stock risk management, synergy between the portfolio and value chain completion, and value-added creation approach to stock management and exchange having the second-fifth ranks, respectively.

Keywords

Social Security Organization

Stock market investment portfolio

Performance indicators

Model

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