A Hybrid Model for Choosing the Optimal Stock Portfolio under Intuitionistic Fuzzy Sets

In the dynamic world of financial investment, crafting an optimal stock portfolio that judiciously balances risk, return, and efficiency emerges as a critical challenge. Despite the wealth of research on financial portfolio optimization, prevailing methodologies predominantly emphasize either risk minimization or return maximization, often overlooking the imperative for a holistic strategy that simultaneously boosts efficiency and effectiveness. Addressing this gap in the literature, this study introduces an innovative four-objective model that intricately blends risk, return, and efficiency considerations for the strategic selection of stock portfolios. This model ingeniously integrates the foundational principles of Markowitz's mean-variance analysis with the sophisticated network data envelopment analysis (NDEA) techniques, significantly refining the portfolio selection methodology. It further distinguishes itself by incorporating returns represented as trapezoidal intuitionistic fuzzy numbers, adeptly capturing the inherent uncertainties in financial returns. Additionally, the model employs the network data envelopment analysis's cross-efficiency principle, providing a nuanced measure of company performance. To effectively navigate the complexities of this model, we deploy the Non-dominated Sorting Genetic Algorithm II (NSGA-II) and a multi-objective genetic algorithm, demonstrating the model's capability to unearth optimal solutions efficiently. The comparative analysis highlights that the proposed model significantly outperforms the efficiency and effectiveness of existing models, marking a substantial advancement in portfolio optimization strategies.

کلیدواژه ها:

portfolio optimization ، Markowitz Mean-Variance Model ، Network Data Envelopment Analysis ، Cross-Efficiency ، Intuitionistic fuzzy sets