Portfolio optimization using MCDM methods with the use of Canslim criteria and measures of performance evaluation

Subject Areas : Journal of Investment Knowledge

Mohammad Amin Rahimzadeh ¹ , Seyed Babak Ebrahimi ² , Reza Ramezanian ³

1 - Master of Financial Engineering, K.N.Toosi University of Technology
2 - Department of Industrial Engineering, K.N.Toosi University of Technology (Corresponding Author)
3 - Department of Industrial Engineering, K.N.Toosi University of Technology

Received: 2018-06-23 Accepted : 2018-10-14 Published : 2019-09-23

Keywords: Multi-criteria decision making, Adjusted Markowitz, CANSLIM, Vikor, Promethee,

Abstract :

Investment in situations with multiple criteria, features and various types is very difficult. Because in this situation we should consider all criteria while that may be conflicted. Use the MCDM models will be helpful in the field of investment. In this study, we want to use the Vikor and Promethee methods by using the CANSLIM model criteria’s and the proposed criteria because of Similar to this research with Tehran stock exchange market. We select the top stocks and then create a portfolio using adjusted Markowitz model with taking into account the transaction costs. This study has been on Tehran stock exchange market with defined conditions, in years 1392 to 1394. The results show that mostly, the Promethee method has been more successful for the create portfolio and also in terms of the sharpe and treynor ratio this method compared to both Vikor method and market portfolio, the results have been more acceptable.  

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