Selection of Fuzzy Multi-Purpose Portfolios Based on the Cross-Sectional Return Model of Data Envelopment Analysis in Tehran Stock Exchange

Subject Areas : Financial engineering

fazel mohammadi nodeh ¹ , Ahmad ayoub mousaabadi ² , masoud asadi ³ , abbas babaei ⁴ , Shaban Mohammadi ⁵

1 - Department of Management, Faculty of Humanities, Lahijan Branch, Islamic Azad University, Lahijan, Iran.
2 - Department of Management, Faculty of Humanities, Lahijan Branch, Islamic Azad University, Lahijan, Iran.
3 - Ph.D. student of financial engineering, Faculty of Management and Accounting, Rasht Branch, Islamic Azad University, Rasht, Iran.
4 - Ph.D. student of financial engineering, Faculty of Management and Accounting, Rasht Branch, Islamic Azad University, Rasht, Iran.
5 - MSC. Accounting, Faculty of Shahid Rajaee, Vocational University of Khorasan, Iran.

Received: 2019-01-18 Accepted : 2019-04-06 Published : 2019-12-22

Keywords: Firefly Algorithm, Fuzzy Portfolio, Cross-sectional Efficiency, Multipurpose Framework,

Abstract :

Fuzzy multifunctional sets reduce the need for accurate data for decision making. Data Envelopment Analysis is a theoretical framework for performance analysis and performance measurement. Fuzzy increases the application of data envelopment analysis. Measuring the performance of companies with the help of data envelopment analysis can help investors in choosing a company. In this paper, the problem of selecting fuzzy portfolios in a multipurpose framework is examined. A comprehensive model for selecting multi-purpose portfolios in fuzzy environment is presented using a semi-variance model and a model for analyzing information development with cross-sectional returns. Data from 40 companies accepted in Tehran Stock Exchange and trapezoidal returns of 40 sheets of securities and the data required for inputs and output of data envelopment analysis were obtained from financial statements of companies from the beginning of 1396 to the end of 1396. 16 financial parameters were used. Sharp ratio, cross-sectional return model in Sharp ratio and multi-purpose firefighting algorithm for solving multi-purpose stock optimization model was used. Analysis was done with MATLAB software. The results showed that the proposed method in this research is more suitable for selection of fuzzy multipurpose portfolio than other methods and provides better results for performance analysis, efficiency and company selection for investment.

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