A Hybrid Decision-Making Model for Optimal Portfolio Selection under Interval Uncertainty

سال انتشار: 1403
محل انتشار: مجله حسابداری ، حسابرسی و امور مالی ایران، دوره: 8، شماره: 4
کد COI اختصاصی: JR_IJAAF-8-4_001
زبان مقاله: انگلیسی
تعداد مشاهده: 119

نویسندگان

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

چکیده

This paper proposes a hybrid approach that integrates fuzzy multi-criteria decision-making with multi-objective mathematical optimization to address the investment management problem in the Iranian capital market under interval uncertainty. To achieve this, we first employ the fuzzy SWARA method to assess the global importance of the criteria weights. Subsequently, we develop a fuzzy EDAS method to rank the active industries in the Iranian capital market, including basic metals, chemical products, investment services, metal ore mining, financing, insurance, pension funds, and social security. Next, we present a mathematical model to determine the optimal investment amount for each ranked alternative. According to the numerical results, the most critical criteria for evaluating different investment areas are access to financial resources, distribution networks, and raw materials. The highest optimal share of investment is associated with Fars ۱, while the lowest value pertains to Gharn ۱. When solving the model under conditions of uncertainty, we observe that increasing parameter from small to large values decreases the value of the first objective function for the most efficient Pareto member. However, when exceeds ۱۰, the value of the first objective function stabilizes. Additionally, the third objective function shows an increasing trend as the parameter decreases. The results obtained can serve as a managerial tool for stakeholders involved in research participation.

کلیدواژه ها

Fuzzy EDAS, Iranian Capital Market, Multi-Objective Optimization, Robust optimization, SWARA

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