Determining the Investment Portfolio Selection Model based on Investor Information using Multi-Criteria Decision Making in the Presence of Uncertainty
Subject Areas : Multi-Criteria Decision Analysis and its Application in Financial ManagementHeshmatollah Shokrian 1 , Mohammad Soleimanivareki 2 , Reza Shahverdi 3 , Mohsen Rabbani 4
1 - Department of Mathematics, Sari Branch, Islamic Azad University, Sari, Iran
2 - Department of Mathematics, Ayatollah Amoli Branch, Islamic Azad University, Amol, Iran
3 - Department of Mathematics, Qaemshahr Branch, Islamic Azad University, Qaemshahr, Iran
4 - Department of Mathematics, Sari Branch, Islamic Azad university, Sari, Iran
Keywords: Investment portfolio , Multi-criteria decision making , Uncertainty, Portfolio Optimization,
Abstract :
The goal of investors in forming a stock portfolio is to obtain the highest return for bearing the lowest risk and portfolio optimization is one of the most complicated problems in the field of finance and investment. It is an NP-hard problem, and in general there is no definite method in polynomial time to find an exact solution for it. In this research, to solve the problem of choosing the optimal stock portfolio, the multi-criteria decision making method has been used under conditions of uncertainty. In order to implement the algorithm and evaluate it, the monthly returns of the Tehran Stock Exchange indices were used between 2018 and 2013. The results can be examined from two different perspectives. From an analytical and technical point of view, the results can be discussed. From a technical point of view, presenting a new technique for doing things can give the capital market participants the confidence that they can choose a stock portfolio using a new tool. From an analytical point of view, the existence of decision making algorithms in providing the optimal portfolio is a new step that can be used in the combination of fundamental analysis and the use of dynamic stock portfolio.
[1] Pourhossein, M., The effect of real profit management and stock returns on the information content of accounting profit of companies listed in Tehran Stock Exchange. Master's thesis in the field of accounting, Faculty of Management and Accounting; Yasin Borujerd Institute of Higher Education, 2021, (In Persian)
[2] Tiwari, A. K., Abakah, E. J. A., Karikari, N. K., Hammoudeh, S., Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification, Energy Economics,2022; 108, 105891, doi: 10.1016/j.eneco.2022.105891
[3] Wang, J., Zhang, H., & Luo, H., Research on the construction of stock portfolios based on multi objec-tive water cycle algorithm and KMV algorithm. Applied Soft Computing, 2022; 115, 108181. doi: 10.1016/j.asoc.2021.108186
[4] Wu, D., Wang, X., & Wu, S., Construction of stock portfolios based on k-means clustering of continu-ous trend feature, Knowledge-Based Systems, 252, 2022, 109358. doi: 10.1016/j.knosys.2022.109358
[5] Abuzayed, B., Al-Fayoumi, N., & Bouri, E., Hedging UK stock portfolios with gold and oil: The impact of Brexit, Resources Policy, 75, 2022, 102434. doi: 10.1016/j.resourpol.2021.102434
[6] Chen, C.-F., & Chiang, S., Portfolio diversification possibilities between the stock and housing markets in G7 countries: Evidence from the time-varying Granger causality, Finance Research Letters,2022; 49, 103124, doi: 10.1016/j.frl.2022.103124
[7] Farman Ara, V., Kamijani, A., Farzin Vash, A., Ghaffari, F. The role of the capital market in financing and economic growth (a case study of Iran and selected developing countries), Financial Econom-ics,2018; 13(47), 19-38, (In Persian)
[8] Fathi, S., Arabsalehi, M., Moghadas, F., Shahraki, K., Ajam., Analysis of the effect of financial re-strictions on the efficiency of the investment portfolio of investment companies admitted to the Tehran Stock Exchange, Commercial Surveys,2016; 14(77), 68-78, (In Persian)
[9] He, C., Huang, K., Liu, S., & Zhang, Z., Volatility correlation structure, dynamic network and portfolio implications of Chinese stock market, Procardia Computer Science,2022; 202, 122–127, doi: 10.1016/j.procs.2022.04.017
[10] Ivashina, V., & Scharfstein, D., Bank lending during the financial crisis of 2008, Journal of Financial Economics,2010; 97(3), 319–338, doi: 10.1016/j.jfineco.2009.12.001
[11] Karimi, M., Emamverdi, G., Dabbaghi, N., Evaluation and identification of the most suitable property and financial investment option in Iran (in the period of 2001-2010), Financial Economics, 2012; 7(25), 207-177, (In Persian)
[12] Nazari, S M., Eivazlu, R., Habibi, M., multi-objective portfolio optimization using colonial competi-tion algorithm in Tehran Stock Exchange, 5th National Conference on Management and Humanities Re-search in Iran, Tehran, 2017, (In Persian)
[13] Abdul Rahimian, M., GHotb Aldini, M., Optimizing the investment portfolio using linear models and Sharpe model (Tehran Stock Exchange), the first national conference on management and economics with a resistance economy approach, Mashhad, 2017, (In Persian)
[14] Amin Lou, R., Radfar, M., Didar, A., Designing a portfolio selection model in Tehran Stock Exchange using fuzzy MCDM techniques, Second International Conference on Management and Accounting, Teh-ran, Salehan Institute of Higher Education, 2016, (In Persian)
[15] Nikkinen, J., & Peltomäki, J., Crash Fears and Stock Market Effects: Evidence from Web Searches and Printed News Articles. Journal of Behavioral Finance, 2019; 21(2): 117–127, doi: 10.1080/15427560.2019.1630125
[16] Dongmei J., , Imeni M., Edalatpanah A., Alburaikan A., and Abd H. Khalifa E. W. "Optimal Selection of Stock Portfolios Using Multi-Criteria Decision-Making Methods" Mathematics 11, 2023; no. 2: 415, doi: 10.3390/math11020415
[17] Doaei, M. & Dehnad, K. & Dehnad, M. A hybrid approach based on multi-criteria decision making and data-based optimization in solving portfolio selection problem. 2023. doi: 10.21203/rs.3.rs-2576724/v1
[18] Irene B. A portfolio stock selection model based on expected utility, entropy and variance, Expert Systems with Applications, 2023; Volume 213, Part A, 118896. doi: 10.1016/j.eswa.2022.118896
[19] Khodamoradi, S., Turabi Guderzi, M., Raei Ezabadi, M. Mathematical two-step approach in stock portfolio optimization. Financial Engineering and Portfolio Management,2013; 4(14): 136-167, (In Per-sian)
[20] Mohamadi,M., Zanjirdar,M., On The Relationship Between Different Types Of Institutional Owners And Accounting Conservatism With Cost Stickiness, Journal of Management Accounting and Auditing Knowledge, 2018;7(28): 201-214
[21] Zanjirdar,M., Overview of Portfolio Optimization Models, Advances In Mathematical Finance And Applications,2020;5(4): 419-435.doi: 10.22034/amfa.2020.674941
[22] Zamanpour,A., Zanjirdar, M., Davodi Nasr,M, Identify and rank the factors affecting stock portfolio optimization with fuzzy network analysis approach, Financial Engineering And Portfolio Management,2021;12(47): 210-236