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Optimal Selection of Stock Portfolios Using Multi-Criteria Decision-Making Methods

Author

Listed:
  • Dongmei Jing

    (School of Accounting, Xijing University, Xi’an 710123, China)

  • Mohsen Imeni

    (Department of Accounting, Ayandegan Institute of Higher Education, Tonekabon 46818-5361, Iran)

  • Seyyed Ahmad Edalatpanah

    (Department of Applied Mathematics, Ayandegan Institute of Higher Education, Tonekabon 46818-5361, Iran)

  • Alhanouf Alburaikan

    (Department of Mathematics, College of Science and Arts, Qassim University, Al-Badaya 51951, Saudi Arabia)

  • Hamiden Abd El-Wahed Khalifa

    (Department of Mathematics, College of Science and Arts, Qassim University, Al-Badaya 51951, Saudi Arabia
    Department of Operations Research, Faculty of Graduate Studies for Statistical Research, Cairo University, Giza 12613, Egypt)

Abstract

In the past, investors used their own or others’ experiences to achieve their goals. With the development of financial management, investors’ choices became more scientific. They could select the optimal choice by using different models and combining the results with their experiences. In portfolio optimization, the main issue is the optimal selection of the assets and securities that can be provided with a certain amount of capital. In the present study, the problem of optimization, i.e., maximizing stock portfolio returns and minimizing risk, has been studied. Therefore, this study discussed comprehensive modeling for the optimal selection of stock portfolios using multi-criteria decision-making methods in companies listed on the Tehran Stock Exchange. A sample of 79 companies listed on the Tehran Stock Exchange was used to conduct this research. After simulating the data and programming them with MATLAB software, the cumulative data analysis model was performed, and 24 companies were selected. This research data were collected from the financial statements of companies listed on the Tehran Stock Exchange in 2020. The primary purpose of this study was a comprehensive modeling for the optimal selection of stock portfolios using multi-criteria decision-making methods in companies listed on the Tehran Stock Exchange. The index in the Tehran Stock Exchange can be used to provide a comprehensive and optimal model for the stock portfolio; different multi-index decision-making methods (TOPSIS method), the taxonomy method (Taxonomy), ARAS method, VIKOR method, The COPRAS method and the WASPAS method can all identify the optimal stock portfolio and the best stock portfolio for the highest return.

Suggested Citation

  • Dongmei Jing & Mohsen Imeni & Seyyed Ahmad Edalatpanah & Alhanouf Alburaikan & Hamiden Abd El-Wahed Khalifa, 2023. "Optimal Selection of Stock Portfolios Using Multi-Criteria Decision-Making Methods," Mathematics, MDPI, vol. 11(2), pages 1-21, January.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:2:p:415-:d:1034140
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    References listed on IDEAS

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