Determining the Investment Portfolio Selection Model based on Investor Information using Multi-Criteria Decision Making in the Presence of Uncertainty
الموضوعات : 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
الکلمات المفتاحية: Investment portfolio , Multi-criteria decision making , Uncertainty, Portfolio Optimization,
ملخص المقالة :
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.
