International Journal of Nonlinear Analysis and Applications

Optimize investment portfolios using statistical methods and a fuzzy approach

Articles in Press

Document Type : Research Paper

Authors

Department of Finance, University of Tehran, Tehran, Iran

Abstract

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.

Keywords

[1] M. Celik, I.D. Er, and A.F. Ozok, Application of fuzzy extended AHP methodology on shipping registry selection: The case of Turkish maritime industry, Expert Syst. Appl. 36 (2009), 190–198.
[2] S. Ebeyedengel, Application of FAHP methodology to rank productivity-affecting factors in blanket factory: A Case study, Adv. Oper. Res. 232 (2023), 1–13.
[3] G. Eslami-Bidgoli and A. Sarang, Portfolio selection using three criteria, mean and standard deviation of return and liquidity in Tehran Stock Exchange, Account. Audit. Rev. 15 (2008), no. 53, 3–16. [In Persian]
[4] B. L. Golden and Q. Wang, An alternative measure of consistency, B. L. Golden, A. Wasil, and P.T. Harker (eds.) Analytic Hierarchy Process: Applications and Studies, Springer Verlag, New-York, 1989.
[5] S. Granemann and A. Figueiredo, Logistica aplicada a exportacao - instrumento de competitividade, Rev. Brasil. Econ. Empresas 1 (2013), no. 1, 51–62.
[6] M. Hoon Ha, S. Lee, S.G. Chi, and Y. Cha, Evolutionary meta reinforcement learning for portfolio optimization, GECCO ’21: Proc. Gen. Evolut. Comput. Conf., 2021.
[7] N. Jalaliyoon, N.A. Bakar, and H. Taherdoost, Accomplishment of critical success factor in organization; Using analytic hierarchy process, Int. J. Acad. Res. Manag. Helvetic Ed. Ltd 1 (2012), no. 1, 1–9.
[8] M. Keshtkar, Portfolio management strategies and methods of security selection and optimal portfolio creation, Econ. Exch. 71 (2008), 19–27.
[9] H. Khanjarpanah, M. S. Pishvaee, and A. Jabbarzadeh, Optimizing a flexible constrained portfolio in stock exchange with fuzzy programming, Jo. Oper. Res. Appl. 13 (2017), no. 4, 39–54.
[10] M. Krejnus, J. Stofkova, K.R. Stofkova, and V. Binasova, The use of the DEA method for measuring the efficiency of electronic public administration as part of the digitization of the economy and society, Appl. Sci. 13 (2023).
[11] M.C. Lee, A method of performance evaluation by using the analytic network process and balanced score card, Int. Conf. Converg. Inf. Technol., 2007.
[12] M. Parkhid and E. Mohammadi, Bi-level portfolio optimization considering fundamental analysis in Fuzzy uncertainty environments, J. Fuzzy Optim. Modell. 3 (2022), no. 31, 1–18.
[13] P. Peykani, E. Mohammadi, F. Barzinpour, and A. Jandaghian, Portfolio selection under trading constraints and data uncertainty using robust optimization approach and NSGA-II algorithm, Tomorrow Manag. 19 (2020), no. 62, 195–206.
[14] P. Peykani, E. Mohammadi, A. Emrouznejad, M.S. Pishvaee, and M. Rostamy-Malkhalifeh, Fuzzy data envelopment analysis: an adjustable approach, Expert Syst. Appl. 136 (2019), 439–452.
[15] P. Peykani, M. Nouri, F. Eshghi, M. Khamechian, and M. Farrokhi-Asl, A novel mathematical approach for fuzzy multi-period multi-objective portfolio optimization problem under uncertain environment and practical constraints, J. Fuzzy Exten. Appl. 2 (2021), no. 3, 191–203.
[16] T.L. Saaty, The Analytic Hierarchy Process, McGraw-Hill, New York, 1980.
[17] J. Sen and S. Dasgupta, Portfolio optimization: A comparative study, arXiv preprint arXiv:2307.05048 (2023).
[18] W.F. Sharpe, G.J. Alexander, and J.F. Bailey, Investments, Sixth Ed., Prentice-Hall International Inc., New Jersey, 1999.
[19] M. Tamiz and R.A. Azmi, Goal programming with extended factors for portfolio selection, Int. Trans. Oper. Res. 26 (2019), no. 6, 2324–2336.
[20] E.B. Tirkolaee, A. Goli, M. Hematian, A.K. Sangaiah, and T. Han, Multi-objective multi-mode resource constrained project scheduling problem using Pareto-based algorithms, Computing 101 (2019), no. 6, 547–570.
[21] P. Yuli Utami, Y. Arkeman, A. Buono, and I. Hermadi, Peningkatan performansi multi objektif Nsga-li Dengan operator mutasi adaptif pada Kasus Portfolio Reksadana Saham, Cybernetics 3 (2020), no. 02, 67–81.
International Journal of Nonlinear Analysis and Applications

Articles in Press, Corrected Proof
Available Online from 18 December 2025
  • Receive Date: 22 February 2024
  • Revise Date: 26 April 2024
  • Accept Date: 14 May 2024