A Combination of FSAW and DOE Method with an Application to Tehran Stock Exchange
محورهای موضوعی : Multi-Criteria Decision Analysis and its Application in Financial Management
Salameh Barbat
1
,
Mahnaz Barkhordariahmadi
2
,
Vahid Momenaei Kermani
3
1 - Department of Mathematics, Kerman Branch, Islamic Azad University, Kerman, Iran
2 - Department of Mathematics, Bandar Abbas Branch Branch,Islamic Azad University, Bandar Abbas, Iran
3 - Department of Mathematics, Kerman Branch, Islamic Azad University, Kerman, Iran
کلید واژه: Stock Portfolio Optimization, Experimental design, Fuzzy SAW, analysis of variance, Multi-Criteria Decision Making,
چکیده مقاله :
stock market is considered as the most profitable and valuable areas of investment in any country. In this regard, high return depends on the correct choice of stock portfolio.That’s why today different methods of mathematical planning and decision-making have been proposed to solve such problems. Aiming to present a new method, the study designates 10 criteria for selecting the best stock portfolio options among the 21 most viewed options in the stock market. The method is a combination of fuzzy SAW and experimental design (2k factorial design). Analysis of variance results for the response variable is calculated . The value of R2 obtained from the response variable of 70% value, shows that this model has selected suitable options by removing ineffective criteria and analysing the results and discovering the relationships between criteria and ranking the criteria and presenting simpler solutions in addition to high accuracy. As a result, by considering and comparing the real values of the stock market in one-month and quarterly intervals, the model presents more capabilities for providing accurate ranking and higher portfolio returns than fuzzy TOPSIS in the capital and stock markets. The response surface method and the regression equation obtained in the proposed method are used to rank the options. In addition, Pareto method, which ranks the criteria based on the effectiveness of the criteria in the final result and regard to the surfaces of experiments and weights of capital market and stock market experts, is used for ranking the factors (criteria).
[1] Donyaei, M., Investigating the role of OTC market in the development of Iran's capital market. Master Thesis. Faculty of Management and Accounting, Sistan and Baluchestan University, 2010, Doi:10.22067.
[2] Khalili Iraqi, M., Multi-criteria group capital budgeting, Economic Research Journal, 2008, (27), P.99-118, Available: https://www.sid.ir/en/journal/ViewPaper.aspxid=117791.
[3] Keshvari, A., Alirezaee, M. R., Ranking Efficient Units by Weakened References in Data Envelopment Analysis, International Journal of Industrial Engineering, 2008, http://ijiepm.iust.ac.ir/article-1-278-en.html.
[4] Gholizadeh, M. H., Designing a Ranking Model for Companies Listed on the Tehran Stock Exchange Using Data Envelopment Analysis (on the Food and Beverage Industry),Ph.D. Thesis, Faculty of Management, University of Tehran, 2004.
[5] Pourzandi, M. E., and Mansouri, H.A., The role of financial reporting in the capital market, Accountants, 2000, 138, P.23-30.
[6] Kadkhodai, H., A comparative study of the regulations governing the Iranian capital market and presenting suggestions for eliminating its shortcomings, PhD thesis. Faculty of Management, University of Tehran,1995.
[7] Anvari Rostami, A. A., Khotanlou, M., A Comparative Study of Top Companies Ranking Based on Profitability Ratios and Tehran Stock Exchange Indices, Accounting and Auditing Reviews, 2006, 43, P.25-43.
[8] Office of Economic Studies and Examination of Tehran Stock Exchange, A framework for measuring fifty more active companies of Tehran Stock Exchange,1998.
[9] Office of Economic Studies and Examination of Tehran Stock Exchange Organization, Indexing in Stock Exchange: Concepts and Methods, Tehran,1997.
[10] Potter, R. E, An empirical study of motivations of common stock investors, Southern Journal of Business, 1971, 6, P.41–48.
[11] Baker,H .K, Haslem; J. A, the impact of investor socioeconomic characteristics on risk and return preferences, Journal of Business Research,1974, 2, P.469-476.
[12] Onil,W. J. , How to make money in stocks, New York: McGrow-Hill,1991.
[13] Wong, F.S, and et.al., Fuzzy Neural Systems for Stock Selection, Financial Analysis Journal , 1992 , 52, P.48, 47-Doi: 10.2469/faj.v48.n1.47.
[14] Chen, A.g, What drives stock price movement, the Eli Broad College of business, Michigan state university, 2007.
[15] Wen-Shiung, L. and et.al.,Combined MCDM techniques for exploring stock selection based on Gordon model ,Expert Systems with Applications,2009, Doi:10.1016/j.eswa.2008.07.084.
[16] Akbarpour Shirazi, A., The use of multi-criteria decision models in the selection of shares of pharmaceutical companies in the Tehran Stock Exchange, Quarterly Journal of the Stock Exchange, 2009, 5, P.5 -38.
[17] Zadeh, L.A., Fuzzy sets, Information and Control , 1965,8, P.338-353, Doi: 10.1016/S0019-9958(65)90241-X.
[18] Chen, S.J. Hwang, C.L., Fuzzy Multiple Attribute Decision Making: Methods and Applications, Springer Verlag, Berlin, 1992, Doi: 10.1007/978-3-642-46768-4_5.
[19] Figueira, J., Greco, S., Ehrgott, M., Multiple Criteria Decision analysis: State of the Art Surveys, Springer, New York, 2005,Doi: 10.1007/b100605.
[20] Kahraman, C., Fuzzy Multi-Criteria Decision Making: Theory and Application with RecentDeveloppment, Springer, US, 2008, Doi: 10.1007/978-0-387-76813-7.
[21] Churchman, C.W., Ackoff, R.L., An approximate measure of value, Journal of the Operations Research Society of America, 1954, 2, P.172-187, Doi: 10.1287/opre.2.2.172.
[22] Deni, W., Sudana, O., Sasmita, A., Analysis and Implementation Fuzzy Multi-Attribute Decision Making SAW Method for Selection of High Achieving Students in Faculty Level, International Journal of Computer Science, 2003,10, P.674-680, Doi: 10.15294/sji.v3i2.7908.
[23] Sagar, M.K., Jayaswal, P., Kushwah, K., Exploring Fuzzy SAW Method for Maintenance Strategy Selection Problem of Material Handling Equipment, International Journal of Current Engineering and Technology, 2003, 3, P.600-605.
[24] Abdullah, L., Jamal, N.J., Determination of Weights for Health-Related Quality of Life Indicators among Kidney Patients: A Fuzzy Decision-Making Method, Applied Research in Quality of Life, 2010, 6, P.349-361, Doi:10.1007/s11482-010-9133-3.
[25] Rajaie, H., Hazrati, A., Rashidi, A., Evaluation of construction contractors in developing countries using fuzzy SAW method, In: W. Tizani (Eds.), Proc. 13th Int. Conf. Computing Civil and Building Engineering, 2010, P.283-294, Doi:10.3390/su11154010.
[26] Chen, C.T., Extensions of the TOPSIS for group decision-making under fuzzy environment, Fuzzy Sets and Systems, 2000 ,114, P.1-9, Doi: 10.1016/S0165-0114(97)00377-1.
[27] Lourenzutti, R., Krohling, R. A generalized TOPSIS method for group decision making with heterogeneous information in a dynamic environment, Information Sciences, 2016, 330, P. 1-18, Doi: 10.1016/j.ins.2015.10.005.
[28] Wang, Y.J., A fuzzy multi-criteria decision-making model by associating technique for order preference by similarity to ideal solution with relative preference relation, Information Sciences, 2014 , 268, P.169-184, Doi: 10.1016/j.ins.2014.01.029.
[29] Behzadian, M., Otaghsara, S.K., Yazdani, M., Ignatius, J., A state-of the art survey of TOPSIS applications, Expert Systems with Applications,2012, 39(17), P.13051-13069. Doi: 10.1016/j.eswa.2012.05.056.
[30] Zavadskas, E.K., Mardani, A., Turskis, Z., Jusoh, A., Nor, K.MD., Development of TOPSIS Method to Solve Complicated Decision-Making Problems: An Overview on Developments from 2000 to 2015, International Journal of Information Technology & Decision Making, 2013, 15(3), P.645-682, Doi: 10.1142/S0219622016300019.
[31] Arabzad, S.M., Ghorbani, M., Razmi, J., Shirouyehzad, H., Employing fuzzy TOPSIS and SWOT for supplier selection and order allocation problem, International Journal of Advanced Manufacturing Technology , 2015, 76, P.803-818, Doi: 10.1007/s00170-014-6288-3.
[32] Chen, Y.J., Structured methodology for supplier selection and evaluation in a supply chain, Information Sciences, 2011, 181, P.1651-1670, Doi: 10.1016/j.ins.2010.07.026.
[33] Beskese, A., Demir, H.H., Ozcan, H.K., Okten, H.E., Landfill site selection using fuzzy AHP and fuzzy TOPSIS: a case study for Istanbul, Environmental Earth Sciences, 2015, 73(3), P.513-3521.
[34] Mahdevari, S., Shahriar, K., Esfahanipour, A., Human health and safety risks management in underground coal mines using fuzzy TOPSIS, Science of the Total Environment, 2014, 488-489, P.85-99.
[35] Pei, Z., A note on the TOPSIS method in MADM problems with linguistic evaluations, Applied Soft Computing, 2015, 36, P. 24-35.
[36] Brzostowski, J., Roszkowska, E., Wachowicz, T., Supporting Ill-Structured Negotiation Problems, In: W. Pedrycz, P. Guo (Eds.), Human-Centric Decision-Making Models for Social Sciences, London, Springer, 2014, P.339-367, Doi:10.1007/978-3-642-39307-5-14.
[37] Wachowicz, T., laszczyk, P. B., TOPSIS based approach to scoring negotiating offers in negotiation support systems, Group Decision and Negotiation, 2013, 22, P.1021-1050, Doi: 10.1007/s10726-012-9299-1.
[38] Roszkowska, E., Wachowicz, T., Application of fuzzy TOPSIS to scoring the negotiation offers in ill-structured negotiation problems, European Journal of Operational Research, 2015, 242, P. 920-932, Doi: 10.1016/j.ejor.2014.10.050.
[39] Antony, J., Capon, N. Teaching experimental design techniques to industrial engineers, International journal of engineering education, 1998, 14, P.335-343.
[40] Jerry,W.R, Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM, Expert Systems with Applications, 2011, 38, P.16-25, Doi:10.1016/j.eswa.2010.05.058.
[41] Hwang, C.L., Yoon, K., Multiple Attribute Decision Making: Methods and Applications, Springer-Verlag, Berlin, 1981, Doi: 10.1007/978-3-642-48318-9_3.
[42] Cebi, S., Kahraman, C., Developing a group decision support system based on fuzzy information axiom, Knowledge-Based Systems 23, 2010, P. 3-16, Doi:10.1016/j.knosys.2009.07.005.
[43] Wang, L., Chu, J., Wu, J., Selection of Optimum Maintenance Strategies Sased on a Fuzzy Analytic Hierarchy Process, Int. J. Production Economics, 2007, P.107, Doi:10.1016/j.ijpe.2006.08.005.
[44] Montgomery, D.C., Design and analysis of experiments. John wiley & sons, 2017.
[45] Khuri, A.I. and Mukhopadhyay, S., Response surface methodology,Wiley Interdisciplinary Reviews: Computational Statistics, 2010, 2(2), P.128-149, Doi: 10.1002/wics.73.
[46] Box, G.E. and Wilson, K.B., On the experimental attainment of optimum conditions, In Breakthroughs in statistics , Springer, New York, NY, 1992, P. 270-310, Doi:10.1007/978-1-4612-4380-9_23.
[47] Baş, D. and Boyacı, I.H., Modeling and optimization I: Usability of response surface methodology, Journal of food engineering, 2007, 78(3), P.836-845, Doi: 10.1016/j.jfoodeng.2005.11.024.
[48] Ramezani, M., imiagari, A., Karimi, B., Hejazi, T. H., Closed-loop supply chain network design under a fuzzy environment. Knowledge-Based Systems, 2014, Doi:10.1016/j.knosys.2014.01.016.
[49] Hatami-Marbini, A.Kangi, F., An extension of fuzzy TOPSIS for a group decision making with an application to tehran stock exchange, Appl. Soft Comput. J., 2017, Doi: 10.1016.j.asoc.2016.09.021.
[50] Amin. G. R, Hajjami, M. , Improving DEA cross-efficiency optimization in portfolio selection, Expert Syst. Appl., 2021, Doi: 10.22051/jfm.2017.12040.1155.
51] Chen. W., Li,S. S., Zhang, J., Mehlawat, M. K., A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model, Soft Comput., 2020, Doi:10.1007.s00500-018-3595-x.
[52] Ma. J, Harstvedt, J. D., Jaradat; R.,Smith; B., Sustainability driven multi-criteria project portfolio selection under uncertain decision-making environment, Comput. Ind. Eng., 2020, Doi: 10.1016/j.cie.2019.106236.
[53] Chang, T. S., Tone, K., and Wu; C. H., Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation, Eur. J. Oper. Res., 2021.
Doi: 10.1016/j.ejor.2020.09.044.
[54] Frej. E. A., Ekel, P., and de Almeida A. T., A benefit-to-cost ratio based approach for portfolio selection under multiple criteria with incomplete preference information, Inf. Sci. (Ny), 2021.
[55] Peykani. P., Mohammadi, E., Pishvaee, M. S., Rostamy-Malkhalifeh, M., Jabbarzadeh, A., A novel fuzzy data envelopment analysis based on robust possibilistic programming: Possibility, necessity and credibility-based approaches, RAIRO - Oper. Res., 2018, Doi:10.1051/ro/2018019.
[56] Peykani, P., Mohammadi, E., Rostamy-Malkhalifeh, M. and Lotfi, F., Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange, Advances in mathematical finance & applications, 2019, 4(1), P.31-43. Doi:10.22034/amfa.2019.581412.1155.
[57] Peykani, P., Mohammadi, E., Sadjadi,S. J., Malkhalifeh, M. R., A Robust Variant of Radial Measure for Performance Assessment of Stock, The third international conference on Intelligent Decision, 2018.
[58] Hwang, C. L., and Yoon, K., Multiple Attribute Decision Making: Methods and Applications, Springer, Berlin, Germany, 1981, P. 186, 259 Doi:10.1007/978-3-642-48318-9.
[59]Chou, Sh. Y., Chang; Y., and Shen, Ch. Y., A fuzzy simple additive weighting system under group decision-making for facility location selection with objective/subjective attributes, European Journal of Operational Research, 2008,Volume 189, Issue 1, 20,08, Doi:10.1016/j.ejor.2007.05.006.
[60] Rahmani, M., Khalili Eraqi, M., Nikoomaram, H., Portfolio Optimization by Means of Meta Heuristic Algorithms, Advances in Mathematical Finance and Applications, 2019, 4(4), P.83-97. Doi: 10.22034/amfa.2019.579510.1144.
[61] Jamei, R., Investigating the Mathematical Models (TOPSIS, SAW) to Prioritize the Investments in the Accepted Pharmaceutical, Advances in Mathematical Finance and Applications, 2020, 5(2), P.215-227. Doi: 10.22034/amfa.2020.1880616.1312.
[62] Zanjirdar, M., Overview of Portfolio Optimization Models, Advances in Mathematical Finance and Applications, 2020, 5(4), P.419-435. Doi: 10.22034/amfa.2020.674941.
[63] Pazhouhandeh, A.A., Marjani, M.R., Habibi, M, An innovative hybrid fuzzy TOPSIS based on Design of Experiments for multi criteria supplier evaluation and selection,International Journal of Operational Research, 2021,1, 1, Doi:10.1504/ijor.2021.10028948.
