Portfolio selection by multi-criteria fuzzy method with tripartite decision approach and cumulative prospect theory
Subject Areas : Financial engineering
Zahra Ahmadi
1
,
Sayyed Mohammad Reza Davoodi
2
1 - Master's student, Department of Financial Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran
2 - Associate Professor, Department of Management, Dehagan Branch, Islamic Azad University, Dehagan, Iran
Keywords: portfolio selection, superiority methods, tripartite decision approach, cumulative perspective theory, multi-criteria fuzzy.,
Abstract :
The choice of the stock portfolio is one of the most important and vital decisions of legal investors in Tehran Stock Exchange, which has been one of the most important issues discussed in the past and present, and with the research that has been conducted in this field, there are models for determining the portfolio. It is presented that over time the defects of each one have been identified and another model has replaced it. Based on this, in the present research, the issue of portfolio selection has been investigated using the multi-criteria fuzzy method using the tripartite decision-making approach and cumulative perspective theory. For this purpose, the data of 30 selected companies admitted to the Tehran Stock Exchange during the period 2014 to 2022 have been used. In order to investigate the issue of portfolio selection, the multi-criteria fuzzy method was used using the tripartite decision-making approach and cumulative perspective theory through the creation of superiority relationships. The findings of the research showed that the multi-criteria fuzzy portfolio selection model using the tripartite decision-making approach and cumulative perspective theory has a better performance than the classical two-way decision-making approach and the expected utility theory in stock portfolio selection.
منابع
زمان پور، علیرضا و زنجیردار، مجید و داودی نصر، مجید (1400). شناسایی و رتبه بندی عوامل موثر بر بهینه سازی پرتفوی سهام با رویکرد تحلیل شبکه فازی، فصلنامه علمی پژوهشی مهندسی مالی و مدیریت اوراق بهادار، 12 (47)، 236-210.
مرادی، زهرا و جوانمرد، عیسی. (1401). انتخاب بهینه سهام براساس توسعه مدل گوردون با استفاده از رویکرد تصمیم گیری چند معیاره فازی، نشریه تحقیقات حسابداری و حسابرسی، 14 (53)، 96-81.
محمدی، دانیال و سجادی، سید جعفر و محمدی، عمران و شکری، نعیم (1402). ارائه الگوریتم ترکیبی یادگیری ماشین و ترکیب سنجههای ریسک و نظریه فازی در انتخاب سبد سرمایه گذاری، فصلنامه علمی پژوهشی مهندسی مالی و مدیریت اوراق بهادار، انتشار آنلاین از تاریخ 26 مرداد 1402.
محمدی نوده، فاضل و احمدی موسی آبادی، ایوب و اسدی، مسعود و بابایی، عباس. (1399). انتخاب پرتفوی چند منظوره فازی مبتنی بر مدل بازده مقطعی تحلیل پوششی داده ها در بورس اوراق بهادار تهران، مهندسی مالی و مدیریت اوراق بهادار، 10 (41).
نعمتی، زهرا و مهرگان، محمدرضا و حسین زاده، مهناز (1400). توسعه تئوری چشم انداز با نقاط مرجع چندگانه در تصمیم گیری، مدیریت صنعتی، 13 (4)، 605-580.
Cheng Zhang a, Xiaomin Gong b, Jingshu Zhang c, Zhiwei Chen (2023). Dynamic portfolio allocation for financial markets: A perspective of competitive-cum-compensatory strategy”, Journal of International Financial Markets, Institutions and Money, 84, April 2023, 101737.
Hajek, P., Prochazka, O., & Froelich, W. (2018). Interval-valued intuitionistic fuzzy cognitive maps for stock index forecasting. In 2018 IEEE Conference on Evolving and Adaptive Intelligent Systems (EAIS) (pp. 1-7). IEEE..
H.Q. Li, Z.H. Yi, Portfolio selection with coherent investors expectations under uncertainty, Expert Systems with Applications, 133 (2019) 49-58.
- Li, G & Wu, D., zhou, M, L., Ballini, R.(2020) Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting. Comput Econ .HTTPS://DOI.ORG/10.1007/S10614-020-09978-0
Markowitz, Harry, Portfolio selection*, The Journal of Finance, 7(1) (1952) 77-91.
-Sun, B., Bai, J., Chu, X., Sun, S., Li, Y., & Li, H. (2023). Interval prediction approach to crude oil price based on three-way clustering and decomposition ensemble learning. Applied Soft Computing, 123, 108933.
B. Wang, Y. Li, S. Wang, J. Watada, A Multi-Objective Portfolio Selection Model With Fuzzy Value-at-Risk Ratio, IEEE Transactions on Fuzzy Systems, 26(6) (2018) 3673-3687.
Z.J. Wang, Z.H. Zhan, S. Kwong, H. Jin, J. Zhang, Adaptive Granularity Learning Distributed Particle Swarm Optimization for Large-Scale Optimization, IEEE Transactions on Cybernetics, 51(3) (2021) 1175-1188
-Yang, Z ., Lin, D., & Zhang, A. (2020). Interval-valued Data Prediction via Regularized Artificial Neural Network. Neurocomputing, 71(14),4102–4032.
Tianxing Wang a, Huaxiong Li a, Libo Zhang a d, Xianzhong Zhou a c, Bing Huang (2020) “A three-way decision model based on cumulative prospect theory”, Information Sciences, Volume 519, May 2020, Pages 74-92.
Xianhe Wang and Bo Wang and Tiantian Li and Huaxiong Li and Junzo Watada (2023) “Multi-criteria fuzzy portfolio selection based on three-way decisions and cumulative prospect theory”, Applied Soft Computing, Volume 134, February 2023, 110033.
Xiaoyang Zhou a b, Liqin Wang a, Huchang Liao c, Shouyang Wang b, Benjamin Lev d, Hamido Fujita (2019) “A prospect theory-based group decision approach considering consensus for portfolio selection with hesitant fuzzy information”, Knowledge-Based Systems, Volume 168, 15 March 2019, Pages 28-38.
