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A hybrid fuzzy decision making method for a portfolio selection: a case study of Tehran Stock Exchange

Author

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  • Abolfazl Kazemi
  • Keyvan Sarrafha
  • Mahdi Beedel

Abstract

The problem of choosing an optimal portfolio is the most significant issue for any investor in the stock exchange market. The present study seeks to prioritise seven companies through pioneer industries on Tehran Stock Exchange market by opting for suitable financial guidelines as well effective criteria in uncertain environments. To do so, a hybrid fuzzy decision making procedure was applied. Having determined the criteria, Delphi method approach was used as a process in fuzzy pairwise comparison of criteria and alternatives in fuzzy AHP. Alternatives then weighed up in fuzzy TOPSIS method to achieve a coordinated and balanced view. Finally, to evaluate the results against real conditions of Tehran exchange market, they were compared with the actual annually returns of these same companies on the market.

Suggested Citation

  • Abolfazl Kazemi & Keyvan Sarrafha & Mahdi Beedel, 2014. "A hybrid fuzzy decision making method for a portfolio selection: a case study of Tehran Stock Exchange," International Journal of Industrial and Systems Engineering, Inderscience Enterprises Ltd, vol. 18(3), pages 335-354.
    • Handle: RePEc:ids:ijisen:v:18:y:2014:i:3:p:335-354
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    Cited by:

    1. Mir Seyed Mohammad Mohsen Emamat & Caroline Maria de Miranda Mota & Mohammad Reza Mehregan & Mohammad Reza Sadeghi Moghadam & Philippe Nemery, 2022. "Using ELECTRE-TRI and FlowSort methods in a stock portfolio selection context," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-35, December.
    2. Masoud Rahiminezhad Galankashi & Farimah Mokhatab Rafiei & Maryam Ghezelbash, 2020. "Portfolio selection: a fuzzy-ANP approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-34, December.
    3. Pośpiech Ewa, 2019. "Effective Portfolios – An Application of Multi-Criteria and Fuzzy Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 19(1), pages 126-139, June.

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