Volume 20, Issue 2 (6-2023)
jor 2023, 20(2): 119-135 |
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Kanaani A, Feylizadeh M R, Hendalianpour A. A Hybrid Model Based on Multi-Attribute Decision Making and Fuzzy Multi-Objective Mathematical Programming for Stock Portfolio Evaluation and Selection Using Z-Number Approach. jor 2023; 20 (2) :119-135
URL: http://jamlu.liau.ac.ir/article-1-1717-en.html
URL: http://jamlu.liau.ac.ir/article-1-1717-en.html
Department of Industrial Engineering, Shiraz Branch, Islamic Azad University, Shiraz, Iran , feylizadeh@iaushiraz.ac.ir
Abstract: (1141 Views)
Selecting and creating a stock portfolio on the stock exchange is one of the most important competitive tools in this century. However, various types of research show that the success rate of stock selection and portfolio projects is not very high. Accordingly, it is necessary to pay special attention to the essential factors of success before selecting and creating a stock portfolio on the stock exchange. Today, the need to benefit from the experiences of different people with different professions, specialties, experiences, and scientific backgrounds is common. All of this highlights the need to use group and multi-criteria decision-making methods. In this study, after examining the scope of stock portfolio selection and project portfolio selection in general, an approach based on fuzzy multi-criteria decision-making for the appropriate stock portfolio selection was presented. The purpose of this article is to identify the criteria and sub-criteria, prioritize the criteria, rank the stocks, and select and optimize the stock portfolio. For this purpose, this paper has used a combination of multi-criteria decision-making and mathematical modeling. The framework of the proposed method is based on the process of fuzzy Analytic Hierarchy Process (FAHP) and Z-number. The output of this method is used as the coefficients of the objective functions of the proposed mathematical model. Finally, in 2016 to show the efficiency and effectiveness of the proposed approach, the validity of the model is evaluated using real data from six shares in the petrochemical field. Finally, after solving the proposed fuzzy mathematical model, the result was that for the first, second, and sixth periods, the share of the Scheffen (related to Technologists Petrochemical) was purchased and for the third to fifth periods, no shares were purchased.
Keywords: Multi-criteria Decision Making, Stocks Selection, Fuzzy AHP, Fuzzy Multi-objective Programming, Z-Number
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