IDEAS home Printed from https://ideas.repec.org/a/plo/pone00/0321370.html
   My bibliography  Save this article

Novel methods for selecting stock portfolio in conditions of uncertainty and forecasting with RR-DEA, ANFIS, FGP: A case study of Tehran stock exchange

Author

Listed:
  • Mohammadmahdi Taheri
  • Amir Azizi
  • Emran Mohammadi
  • Abbas Saghaei

Abstract

Portfolio selection and management are two of the most important decisions in the financial field. The existence of uncontrollable factors affects the decision-making process, which is a problem for investors who are responsible for the final financial decisions on how to allocate their budgets to financial assets in their investment portfolios. To overcome the challenges involved in the selection of a stock portfolio, this article presents a three-stage optimization model. In the first stage, the pharmaceutical industry data collected from the Tehran Stock Exchange (TSE) website is used to apply the robust ratio data envelopment analysis (RR-DEA) in GAMS software with respect to some specific financial indicators to determine efficient stocks in conditions of data uncertainty. These selected stocks are then moved to the second stage, where the ANFIS algorithm is employed in MATLAB to predict the final closing prices and calculate the prediction error (RMSE). In the third stage, the fuzzy goal programming (FGP) method is applied, incorporating the prediction errors from the previous stage. The model is optimized in GAMS software, considering each Index’s objectives in a fuzzy context, with the results presented separately for different objectives. For this problem, in the first stage 27 stocks were selected as samples from the (TSE) website using the proposed methods, and 23 stocks were entered into the price prediction stage. Finally, in the FGP stage, optimization and purchase amount of each share was done. Illustrative results show that the proposed approach is effective for portfolio selection and optimization in the presence of uncertain data.

Suggested Citation

  • Mohammadmahdi Taheri & Amir Azizi & Emran Mohammadi & Abbas Saghaei, 2025. "Novel methods for selecting stock portfolio in conditions of uncertainty and forecasting with RR-DEA, ANFIS, FGP: A case study of Tehran stock exchange," PLOS ONE, Public Library of Science, vol. 20(7), pages 1-41, July.
    • Handle: RePEc:plo:pone00:0321370
    DOI: 10.1371/journal.pone.0321370
    as

    Download full text from publisher

    File URL: https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0321370
    Download Restriction: no
    File URL: https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0321370&type=printable
    Download Restriction: no
    File URL: https://libkey.io/10.1371/journal.pone.0321370?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Sabri Boubaker & Tu D. Q. Le & Riadh Manita & Thanh Ngo, 2025. "The trade-off frontier for ESG and Sharpe ratio: a bootstrapped double-frontier data envelopment analysis," Annals of Operations Research, Springer, vol. 347(1), pages 717-741, April.
    2. Dylan Jones & Mehrdad Tamiz, 2010. "Practical Goal Programming," International Series in Operations Research and Management Science, Springer, edition 1, number 978-1-4419-5771-9, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Francisco Salas-Molina & Filippo Bistaffa & Juan A. Rodriguez-Aguilar, 2024. "A General Approach for Computing a Consensus in Group Decision Making That Integrates Multiple Ethical Principles," Papers 2401.07818, arXiv.org, revised Mar 2024.
    2. Ramos, Francisco López & Batres, Rafael & De-la-Cruz-Márquez, Cynthia Griselle & Anzures, Melina López, 2023. "Optimization models for nopal crop planning with land usage expansion and government subsidy," Socio-Economic Planning Sciences, Elsevier, vol. 89(C).
    3. Walter Briec & Laurent Cavaignac & Kristiaan Kerstens, 2020. "Input Efficiency Measures: A Generalized, Encompassing Formulation," Operations Research, INFORMS, vol. 68(6), pages 1836-1849, November.
    4. Ajithakumari Vijayappan Nair Biju & Snehith Jacob Kodiyatt & P. P. Nithi Krishna & Geetha Sreelekshmi, 2023. "ESG sentiments and divergent ESG scores: suggesting a framework for ESG rating," SN Business & Economics, Springer, vol. 3(12), pages 1-21, December.
    5. Carland, Corinne & Goentzel, Jarrod & Montibeller, Gilberto, 2018. "Modeling the values of private sector agents in multi-echelon humanitarian supply chains," European Journal of Operational Research, Elsevier, vol. 269(2), pages 532-543.
    6. Zgajnar, Jaka & Kavcic, Stane, 2012. "Farm management support based on mathematical programming; an example of fertilization planning," Agroeconomia Croatica, Croatian Society of Agricultural Economists, vol. 2(01), pages 1-8, March.
    7. Huang, Zishuo & Yu, Hang & Chu, Xiangyang & Peng, Zhenwei, 2017. "A goal programming based model system for community energy plan," Energy, Elsevier, vol. 134(C), pages 893-901.
    8. Mohammad Taleghani, 2017. "Synergistic Role of Balanced Scorecard/Activity Based Costing and Goal Programming Combined Model on Strategic Cost Management," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 586-593.
    9. Foad Mahdavi Pajouh & Dahai Xing & Yingjue Zhou & Sharethram Hariharan & Balabhaskar Balasundaram & Tieming Liu & Ramesh Sharda, 2013. "A Specialty Steel Bar Company Uses Analytics to Determine Available-to-Promise Dates," Interfaces, INFORMS, vol. 43(6), pages 503-517, December.
    10. Jones, Dylan & Jimenez, Mariano, 2013. "Incorporating additional meta-objectives into the extended lexicographic goal programming framework," European Journal of Operational Research, Elsevier, vol. 227(2), pages 343-349.
    11. Mila Bravo & Dylan Jones & David Pla-Santamaria & Francisco Salas-Molina, 2022. "Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection," Operational Research, Springer, vol. 22(5), pages 5685-5706, November.
    12. Mila Bravo & Dylan Jones & David Pla-Santamaria & Graham Wall, 2018. "Robustness of weighted goal programming models: an analytical measure and its application to offshore wind-farm site selection in United Kingdom," Annals of Operations Research, Springer, vol. 267(1), pages 65-79, August.
    13. Christoph Stallkamp & Justus Steins & Manuel Ruck & Rebekka Volk & Frank Schultmann, 2022. "Designing a Recycling Network for the Circular Economy of Plastics with Different Multi-Criteria Optimization Approaches," Sustainability, MDPI, vol. 14(17), pages 1-23, September.
    14. Zgajnar, Jaka & Kavcic, Stane, 2011. "Weighted Goal Programming and Penalty Functions: Whole-farm Planning Approach Under Risk," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 118033, European Association of Agricultural Economists.
    15. Stamenkovska, Ivana Janeska & Dimitrievski, Dragi & Erjavec, Emil & Stojcheska, Aleksandra Martinovska & Zgajnar, Jaka, 2014. "A weighted goal programming model for vegetable production planning in Republic of Macedonia," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182967, European Association of Agricultural Economists.
    16. Francisco Salas-Molina & Juan Antonio Rodr'iguez Aguilar & Filippo Bistaffa, 2020. "Shared value economics: an axiomatic approach," Papers 2006.00581, arXiv.org.
    17. Hocine, Amine & Kouaissah, Noureddine & Bettahar, Samir & Benbouziane, Mohamed, 2018. "Optimizing renewable energy portfolios under uncertainty: A multi-segment fuzzy goal programming approach," Renewable Energy, Elsevier, vol. 129(PA), pages 540-552.
    18. Jones, Dylan & Firouzy, Sina & Labib, Ashraf & Argyriou, Athanasios V., 2022. "Multiple criteria model for allocating new medical robotic devices to treatment centres," European Journal of Operational Research, Elsevier, vol. 297(2), pages 652-664.
    19. Hashem Omrani & Mahsa Valipour & Ali Emrouznejad, 2019. "Using Weighted Goal Programming Model for Planning Regional Sustainable Development to Optimal Workforce Allocation: An Application for Provinces of Iran," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 141(3), pages 1007-1035, February.
    20. Reza Khorramshahgol, 2012. "An Integrated Strategic Approach To Supplier Evaluation And Selection," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 55-76.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:plo:pone00:0321370. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: plosone (email available below). General contact details of provider: https://journals.plos.org/plosone/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.