Evaluation of the optimal portfolio portfolio using market criteria using multi-criteria decision criteria under conditions of uncertanty in the Iranian capital market

Subject Areas : Financial Markets and Institutions

Kamran Taghizadeh ¹ , Saber Mullah Alizadeh Zavardehi ² , Allah Karam Salehi ³ , Ali Mahmoudi Rad ⁴

1 - Department of Management, Masjed Soleiman Branch, Islamic Azad University, Masjed Soleiman, Iran.
2 - Department of Industrial Engineering, Masjed Soleiman Branch, Islamic Azad University, Masjed Soleiman, Iran.
3 - Department of Accounting, Masjed Soleiman Branch, Islamic Azad University, Masjed Soleiman, Iran.
4 - Department of Mathematics, Masjed Soleiman Branch, Islamic Azad University, Masjed Soleiman, Iran.

Received: 2021-11-28 Accepted : 2022-05-22 Published : 2022-05-22

Keywords: Portfolio portfolio, country risk, stocks, market metrics,

Abstract :

Purpose: The present study was formed with the aim of evaluating the optimal portfolio portfolio using market criteria using multi-criteria decision criteria under conditions of uncertainty in the Iranian capital market.Methodology: This study was a combination of qualitative and quantitative research and its population in the qualitative section included 20 managers of Tehran Stock Exchange companies and university professors and in the quantitative statistical sample section, 30 managers and experts of listed companies. Which were purposefully selected and participated in the research.Findings: The results of the qualitative section based on the data method of the foundation showed that the effective criteria for evaluating the optimal capital portfolio include 5 market criteria. Market criteria include country risk; Systematic risk; Devaluation of the market; Devaluation of the equity market; Decreasing market profits. The results of the quantitative section were ranked using multi-criteria decision making methods. Based on this, first the general market components criteria were ranked based on AHP, which have the first to fifth rank criteria of country risk, reduction of company profit, reduction of growth opportunities, reduction of equity market and systematic risk in the market segment. Also, to electrify the sub-criteria (propositions), the method of electrification and topsis were used. Based on the Electra method in the foreign exchange market segment, sanctions and the risk of increasing the ratio of materials and products and sanctions were ranked first to third, respectively. Which showed the consistency of the ranking results in both methods.Originality / Value: Research findings can be effective in optimizing the portfolio portfolio and can also be effective in the current favorable market conditions in the Iranian capital market.

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