Providing a New Technique in Portfolio Selection by and Genetic Algorithm and Fuzzy Synthetic Evaluation

Subject Areas :

Amirmohammad Mohtasham ^{1 *} , Taghi Torabi ² , Reza Radfar ³ , Mohammadreza Motadel ⁴ , Nazanin Pilevari ⁵

1 - PhD Student of Industrial Management, Emarat Branch, Islamic Azad University
2 - Associate Professor, Department of Economic Sciences, Science and Research Branch, Islamic Azad University
3 - Full Professor, Department of Mangement and Systems, Science and Research Branch, Islamic Azad University
4 - Assistant Professor, Department of Industrial Management, Central Tehran Branch, Islamic Azad University
5 - Associate Professor, Department of Industrial Management, West Tehran Branch, Islamic Azad University

Received: 2023-07-25 Accepted : 2023-08-27 Published : 2023-08-23

Keywords: Genetic Algorithm, Portfolio Selection, Fuzzy synthetic evaluation,

Abstract :

The purpose of this paper is to present a new technique to the portfolio selection using Genetic Algorithm and Fuzzy Synthetic Evaluation. Portfolio selection is a multi-objective/criteria decision-making problem in financial management. The proposed approach (Genetic Algorithm and Fuzzy Synthetic Evaluation) solves the problem in two stages. In the first stage، by using genetic algorithm and fuzzy synthetic evaluation، weight of criteria will be calculated.  In second stage، using Fuzzy Synthetic Evaluation، Portfolios will be prioritized. A multi objective genetic algorithm is used to determine return and risk in the efficient frontier in Tehran stock market.  In this research, we have used of firms’ performance between 1396-1400 in chemical industries in order to determine portfolio selection. The main advantage of proposed approach is help an investor to find a portfolio which have Best performance، portfolio selection doesn’t rely to expert knowledge.