Fuzzy MCDM Approach of Portfolio Evaluation and Selection
Subject Areas : Financial engineering
Keywords: Keywords: portfolio evaluation and selection, fuzzy multi-criteria decision-making, fuzzy hierarchical analysis, fuzzy weighting simple set method,
Abstract :
There are many models in portfolio evaluation and selection. The first study in this area is the Markowitz mean-variance modeling 1952. Since increasing crisis in the organizational activity makes uncertainty rising, the evaluation and selection of stocks problem will consist of the important parameters. Therefore, the fuzzy sets are a powerful tool for dealing with the uncertainty caused by trade markets and the investors ‘decision making. So, in this paper, the fuzzy theory along with multi-criteria decision-making has been used for portfolio evaluation and selection. To this end, 12 of the 50 active companies listed in Tehran Stock Exchange were evaluated in 1393 (solar year). A result represented the 72% rate of return of the selected portfolio. Moreover, Information Services Inc. has the highest performance and Persian Bank has the weakest performance in the proposed portfolio.