A hybrid decision-making model for optimal portfolio selection under interval uncertainty

Iranian Journal of Accounting, Auditing and Finance

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 22 اسفند 1401   

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2023.79501.1255

نویسندگان

mohsen zahmati iraj¹؛ Doaei Meysam^{* 2}

¹department of finance, Islamic azad university, Esfarayen branch

²Department of Finance, Esfarayen Branch, Islamic Azad University, Esfarayen, Iran

چکیده

This paper aims to propose a hybrid approach based on a fuzzy multi-criteria decision making and a multi-objective mathematical optimization under interval uncertainty to solve the investment management problem in the Iranian capital market. For this purpose, first, a fuzzy-SWARA method is utilized to determine the global importance weights of criteria. Then, a fuzzy-EDAS method is developed to rank the active industries in the Iranian capital market including basic metals, chemical products, investment, metal ore mining, financing, insurance and pension funds, and except social security. Second, a mathematical model is presented to determine the optimal amount of investment in each ranked alternative. According to the numerical results, access to financial resources, access to distribution networks and access to raw materials are the most important criteria in evaluating different areas of investment. The highest optimal share of investment is related to Fars 1 and the lowest value is related to Gharn1. In solving the model in conditions of uncertainty, it is observed that changing Γ_1 from small to large values reduces the value of the first objective function in the most efficient Pareto member. While in Γ_1> 10, the first objective function value is fixed. The third objective function also has an ascending trend with the descending changes of parameter Γ_3. The obtained results can be considered as a managerial tool for participation of the research.

کلیدواژه‌ها

SWARA-fuzzy EDAS؛ Robust Optimization؛ Multi-objective Optimization؛ Iranian Capital Market