A Performance Analysis and Portfolio Construction of Tehran Stock Exchange Companies by Fuzzy Expert System

The Markowitz model plays an important role in investing and is the basis for allocating quantitative assets to investors. However, this model is accompanied by numerous drawbacks and constraints. In addition to facing uncertainty, investors do not have complete information on the market. Moreover, the mechanism between fundamental and technical indices includes uncertainty. Based on the complexity and uncertainty in the creation of stock portfolio, in the present study, the fuzzy expert system (FES) was designed to build an efficient portfolio based on investor priorities according to the fundamental financial and technical indicators. The performance of the proposed FES was investigated using stock data of subsidiary companies cement industries, basic metals, and petroleum products in Tehran Stock Exchange between 2009 and 2016. The results indicated that the performance of the proposed FES was desirable for the sample one-year investment periods relative to the overall market index.

کلیدواژه ها:

Fundamental Analysis ، Technical Analysis ، Fuzzy Expert System