Optimal Selection of Stock Portfolios Using Multi-Criteria Decision-Making Methods

Abstract

In the past, investors used their own or others’ experiences to achieve their goals. With the development of financial management, investors’ choices became more scientific. They could select the optimal choice by using different models and combining the results with their experiences. In portfolio optimization, the main issue is the optimal selection of the assets and securities that can be provided with a certain amount of capital. In the present study, the problem of optimization, i.e., maximizing stock portfolio returns and minimizing risk, has been studied. Therefore, this study discussed comprehensive modeling for the optimal selection of stock portfolios using multi-criteria decision-making methods in companies listed on the Tehran Stock Exchange. A sample of 79 companies listed on the Tehran Stock Exchange was used to conduct this research. After simulating the data and programming them with MATLAB software, the cumulative data analysis model was performed, and 24 companies were selected. This research data were collected from the financial statements of companies listed on the Tehran Stock Exchange in 2020. The primary purpose of this study was a comprehensive modeling for the optimal selection of stock portfolios using multi-criteria decision-making methods in companies listed on the Tehran Stock Exchange. The index in the Tehran Stock Exchange can be used to provide a comprehensive and optimal model for the stock portfolio; different multi-index decision-making methods (TOPSIS method), the taxonomy method (Taxonomy), ARAS method, VIKOR method, The COPRAS method and the WASPAS method can all identify the optimal stock portfolio and the best stock portfolio for the highest return.

Intelligent logistics and distribution decision making method research and system design

“…Each module is responsible for a specific function and cooperates with each other to achieve the purpose of efficiently and accurately handling distribution needs. The modular design makes the system easier to expand and maintain, and provides a certain degree of flexibility and customizability to meet the logistics and distribution needs of different enterprises [11].…”

Stock Portfolio Optimization Using Pythagorean Fuzzy Numbers

“…Depending on the score function, model (3) can be transformed to model (1), which is simple and solvable:…”

“…Portfolio optimization is an important problem related to asset allocation [1]. Its primary objective is to minimize the investment risk by dividing it into various assets that are expected to vary independently [2].…”

A Novel Integrated Hesitant Fuzzy Method for Process Failure Analysis Based on Taxonomy Method

“…Çalışma, beşinci bölümde sonuçların karşılaştırılması ve ardından altıncı bölümde sonuçlar verilerek tamamlanacaktır. [12] Tahran Menkul Kıymetler Borsası'nda işlem gören şirketlerde çok kriterli karar verme yöntemlerini kullanarak en uygun hisse senedi portföyü seçimi için kapsamlı bir modelleme yapmışlardır. Tahran Menkul Kıymetler Borsasındaki endeks, hisse senedi portföyü için kapsamlı ve optimal bir model sağlamak için farklı çok endeksli karar verme yöntemleri, TOPSIS, Taksonomi, ARAS, VIKOR, COPRAS ve WASPAS yöntemlerini kullanarak optimum hisse senedi portföyünü ve en yüksek getiri için en iyi hisse senedi portföyünü belirlemeyi hedeflemişlerdir.…”