Combining the process of fuzzy hierarchical analysis process and multi-objective fuzzy ideal planning in order to form a stock portfolio

Subject Areas :

Hamidreza Rezaei ¹ , Abdollah Hadi-Vencheh ^{2 *} , Hosein Arman ³ , Mehrdad Nikbakht ⁴

1 - Department of Management, Na.C., Islamic Azad University, Najafabad, Iran
2 - Department of Mathematics,Islamic Azad University, Khorasgan Branch, Isfahan, Iran
3 - Department of Management, Mo. C., Islamic Azad University, Mobarakeh, Isfahan, Iran
4 - Department of Industrial Engineering, Na.C., Islamic Azad University, Najafabad, Iran

Received: 2024-11-15 Accepted : 2025-02-08 Published : 2025-05-20

Keywords: stock portfolio, fuzzy hierarchical analysis process, fuzzy multi-objective programming, fuzzy sets,

Abstract :

The issue of choosing stock portfolio has always been one of the concerns of stock market activists. Optimizing the stock portfolio can create more financial benefits for investors and bring them a safer investment. Therefore, in this research, in order to present the optimization model of the stock portfolio by considering the uncertainty, the fuzzy multi-objective ideal programming method was used. To achieve this goal, listed companies were first selected for investment. Then, 6 indicators were considered to form the portfolio, which are price-to-earnings ratio (P/E), volume, return on equity (ROE), β coefficient, return on capital, and liquidity rating. The weight of these indicators was obtained using the Fuzzy Hierarchical Analysis Process (FAHP) method. Also, the values of these indicators were extracted for the considered companies. Then, each of these indicators was considered as an ideal goal, and its desirable and undesirable values were extracted, and based on that, a fuzzy membership function was obtained for each goal. Finally, a fuzzy ideal planning model was designed. By solving this model, it was determined how much the share of each company should be in forming the portfolio

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