Portfolio selection: a fuzzy-ANP approach

Masoud Rahiminezhad Galankashi (), Farimah Mokhatab Rafiei and Maryam Ghezelbash
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Masoud Rahiminezhad Galankashi: Tarbiat Modares University
Farimah Mokhatab Rafiei: Tarbiat Modares University
Maryam Ghezelbash: Buein Zahra Technical University

Financial Innovation, 2020, vol. 6, issue 1, 1-34

Abstract: Abstract This study developed specific criteria and a fuzzy analytic network process (FANP) to assess and select portfolios on the Tehran Stock Exchange (TSE). Although the portfolio selection problem has been widely investigated, most studies have focused on income and risk as the main decision-making criteria. However, there are many other important criteria that have been neglected. To fill this gap, first, a literature review was conducted to determine the main criteria for portfolio selection, and a Likert-type questionnaire was then used to finalize a list of criteria. Second, the finalized criteria were applied in an FANP to rank 10 different TSE portfolios. The results indicated that profitability, growth, market, and risk are the most important criteria for portfolio selection. Additionally, portfolios 6, 7, 2, 4, 8, 1, 5, 3, 9, and 10 (A6, A7, A2, A4, A8, A1, A5, A3, A9, and A10) were found to be the best choices. Implications and directions for future research are discussed.

Keywords: Portfolio selection; Financial engineering; Fuzzy analytic network process (FANP); Multiple-criteria decision-making (MCDM) (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (18)

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DOI: 10.1186/s40854-020-00175-4

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