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Optimize investment portfolios using statistical methods and a fuzzy approach | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقالات آماده انتشار، اصلاح شده برای چاپ، انتشار آنلاین از تاریخ 27 آذر 1404 اصل مقاله (649.68 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2024.33876.5053 | ||
| نویسندگان | ||
| Ali Jahangiri* ؛ Ehsan Hemmati | ||
| Department of Finance, University of Tehran, Tehran, Iran | ||
| تاریخ دریافت: 03 اسفند 1402، تاریخ بازنگری: 07 اردیبهشت 1403، تاریخ پذیرش: 25 اردیبهشت 1403 | ||
| چکیده | ||
| This research aims to optimise portfolio selection using the Fuzzy Analytic Hierarchy Process (FAHP). This research employs both objective and descriptive analysis in data collection and processing. The assessment models of strategic programs such as the FAHP, are utilized to conduct this research. The studied population consists of all companies listed on the the Tehran Stock Exchange from 2018 to 2023, and 7 companies are considered as the sample. The descriptive statistics including the demographic data of statistical samples such as the tables of frequency distribution, descriptive diagrams, etc, are utilized for data analysis in this research, and also the inferential statistics by FAHP are used for weighting the options. According to the results, the prioritization of portfolio selection criteria is as follows: Expected return, liquidity and risk criterion. Furthermore, the prioritization of studied listed companies is as follows: Esfahan's Mobarakeh Steel Company, Pipe and Machine Manufacturing Company of Iran, Borujerd Textile Company, Rolling Mill \& Steel Production Co., IRAN Merinos Co., Sadid Industrial Group, and Tous Wool Weaving Co. | ||
| کلیدواژهها | ||
| Optimal portfolio selection؛ expected return؛ liquidity rating؛ risk criterion؛ Fuzzy Analytic Hierarchy Process (FAHP)؛ Tehran Stock Exchange | ||
| مراجع | ||
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