A new Method for Sustainable Portfolio Selection with DEA, TOPSIS and MIP in Stock exchange
Subject Areas : Financial engineeringSoghra Rezaei 1 , Mohsen Vaez-Ghasemi 2
1 - Department of Mathematics, Rasht Branch, Islamic Azad University, gilan, iran.
2 - Department of Mathematics, Rasht Branch, Islamic Azad University, gilan, iran.
Keywords: DEA, TOPSIS, Portfolio Selection, Linear Programing,
Abstract :
In today's highly competitive world, the condition of survival and participation in the field of activity, functioning and efficient and effective, is not achieved except through continuous planning, monitoring, control and evaluation. In this regard, we tried to present a mathematical hybrid model for selecting and planning an optimal composition of the shares according to the goals and priorities, in order to obtain the highest compatibility between the final selection and the initial ranking of each share. The proposed model consists of three steps and several steps, the SBM method of data envelopment analysis (DEA) (for initial stock revisions, multi-factor decision-making (TOPSIS)) in uncertainty conditions, for the assessment and ranking of shares in two individual steps and categorized and integer linear programming (IP) for choosing the best stock portfolio with increased scores according to the organization's priorities and constraints. Collect information from reputable sites of five industries active automotive, pharmacy, petrochemical, cement and food industries to the best stock portfolio for investment, due to the impact of algorithms and methods.
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[24] Oral,M.,Kettani,O.,&Cinar,U.(2001).Project evaluation and selection in a network of collaboration: A consensual disaggregation multi-criterion approach. European Journal of Operational Research, 130, 332–346.
[25]Oral, M., Kettani,O.,&Lang,P.(1991). A methodology for collective evaluation and selection of industrial R&D projects. Management Science,37(7),871–885. [26]Pisinger,D.(2001).Budgeting with bounded multiple-choice constraints. European Journal of Operational Research, 129, 471–480.
[27]Salo,A.,Gustafsson,T.,& Ramanathan,R.(2003).Multicriteria methods for technology foresight. Journal of Forecasting,22, 235–255.
[28]Santhanam, R., & Kyparisis,G.J.(1996). A decision model for interdependent information system project selection. European Journal of Operational Research, 89, 380–399. [29] Santhanam, R., Muralidhar, K., & Scniederjans, M. (1989).A zero-one goal programming approach for information system project selection. Omega,17 (6) ,583–593. [30]Tobin, R.L. (1999).A fast interactive solution method for large capital expenditure selection problems. EuropeanJournalofOperationalResearch,116,1–15. [31]Wang, T., & Dyer, J.S. (2012).Acopulas-based approach to modeling dependence in decisiontrees. Operations Research, 60,225–242.
[32]Zanakis, S. H., Mandakovic, T., Gupta, S.K., Sahay, S., & Hong, S. (1995). A review of program evaluation and fund allocation methods within the service and government sectors.Socioeconomic Planning Sciences,29(1),59–79 .
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[1] Moein Eldini, Prasto and Hashemi, Sima (2008) Evaluation of the efficiency of executive units of Iranian customs through data envelopment analysis method, master's thesis. pp. pp. 1-5
[2] Abu-Taleb. M. & Mareschal, B. (1995). Water resources planning in the Middle East: Application of the PROMETHEE V multicriterion method. European Journal of Operational Research, 81,500–511 .
[3] Albright, S. C. (1975). Allocation of research grants to university research proposals. Socio-Economic Planning Sciences, 9(5), 189–195.
[4] Badri, M. A., Davis, D., & Davis, D. (2001). A comprehensive 0–1 goal programming model for project selection.International Journal of Project Management, 19, 243252.
[5] Banker, RD, Charnes, A & Cooper, WW (1984), 'Some models for estimating technical scale inefficiencies in data envelopment analysis', Management Science, vol. 30, no. 9, pp. 1087-92. [6] Banker, R. D.and Thrall, R.M.(1992). Estimation of Returns to Scale Using DataEnvelopment Analysis, European Journal of Operational Research, 62, 74-78.
[7] Belton, V, & Stewart, T. (2002).Multiple criteria decision analysis: An integrated approach.Kluwer Academic Publishers.
[8] Bickel, J. E., & Smith, J. E. (2006). Optimal sequential exploration: A binary learning model. Decision Analysis, 3, 16–32.
[9]Clemen, R.T.,&Reilly,T.(1999).Correlations and copulas for decision and risk analysis. Management Science,45,208–224.
[10] Cook, W. D., & Green, R. H. (2000). Project prioritisation: A resource-constrained data envelopment analysis approach. Socio-Economic Planning Sciences, 34, 85–99.
[11] Fandel, G., &Gal, T.(2001).Redistribution of funds for teaching and research among universities: The case of North Rhine—Westphalia. European Journal of Operational Research, 130,111–120.
[12] Farrell, M. (1957).The measurement of productive efficiency. Journal of the Royal Statistical Society, 120 (3), 253–281.
[13] F. Hosseinzadeh Lotfi, R.Fallahnejad and N.Navidi. Ranking Efficient Units in DEA by Using TOPSIS Method.Applid Mathematical Sciences, Vol.5, (2011) ,no.17,805-815.
[14] Golabi, K., Kirkwood, C. W., & Sicherman, A. (1981). Selecting a portfolio of solar energy projects using multiattribut preference theory. Management Science, 27, 174–189.
[15] Gustafsson,J.,&Salo,A.(2005).Contingent portfolio programming for the management of risky projects. Operations Research,53,946–956.
[16] Kaou, T. (2001). 'Theory and methodology a slacks-based measure of efficiency in data envelopment analysis', European Journal of Operational Research, vol. 130, pp. 498-509.
[17] Kirkwood, C.W. (1997). Strategi cdecision making. Multiobjective decision analysis with spreadsheets. Duxbury Press.
[18] Kwak, N. K., & Lee, C. (1998). A multicriteria decision - making approach to university resource allocation and information infrastructure planning . European Journal of Operational Research, 110, 234–242. [19] Madjid Tavana, Mehdi Keramatpour, Francicco J.Santos-Arteaga, Esmail Ghorbaniane.(2015). A fuzzy hybrid project portfolio selection method using Data Envelopment Analysis, TOPSIS and Integer Programing .Expert Systems With Application 42 ,8432- 8444. [20] Mavrotas,G .,Diakoulaki,D.,&Caloghirou,Y.(2006).Project prioritization under policy restrictions. A combination of MCDA with0–1 programming . Europeanb Journal of Operational Research, 171,296–308 .
[21]Mavrotas,G.,Diakoulaki, D., & Capros, P. (2003). Combined MCDA–IP approach for project selection in the electricity market. Annals of Operations Research, 120,159–170 . [22] Melachrinoudis,E.,&Kozanidis,G.(2002).A mixed integer knapsack model for allocating funds to highway safety improvements. Transportation Research Part A, 36,789–803. [23]Mukherjee,K.,&Bera,A.(1995). Application of goal programming in project selection-A case study from the Indian coal mining industry. European Journal of Operational Research, 82,18–25.
[24] Oral,M.,Kettani,O.,&Cinar,U.(2001).Project evaluation and selection in a network of collaboration: A consensual disaggregation multi-criterion approach. European Journal of Operational Research, 130, 332–346.
[25]Oral, M., Kettani,O.,&Lang,P.(1991). A methodology for collective evaluation and selection of industrial R&D projects. Management Science,37(7),871–885. [26]Pisinger,D.(2001).Budgeting with bounded multiple-choice constraints. European Journal of Operational Research, 129, 471–480.
[27]Salo,A.,Gustafsson,T.,& Ramanathan,R.(2003).Multicriteria methods for technology foresight. Journal of Forecasting,22, 235–255.
[28]Santhanam, R., & Kyparisis,G.J.(1996). A decision model for interdependent information system project selection. European Journal of Operational Research, 89, 380–399. [29] Santhanam, R., Muralidhar, K., & Scniederjans, M. (1989).A zero-one goal programming approach for information system project selection. Omega,17 (6) ,583–593. [30]Tobin, R.L. (1999).A fast interactive solution method for large capital expenditure selection problems. EuropeanJournalofOperationalResearch,116,1–15. [31]Wang, T., & Dyer, J.S. (2012).Acopulas-based approach to modeling dependence in decisiontrees. Operations Research, 60,225–242.
[32]Zanakis, S. H., Mandakovic, T., Gupta, S.K., Sahay, S., & Hong, S. (1995). A review of program evaluation and fund allocation methods within the service and government sectors.Socioeconomic Planning Sciences,29(1),59–79 .
