Portfolio selection: a fuzzy-ANP approach

作     者：Masoud Rahiminezhad Galankashi Farimah Mokhatab Rafiei Maryam Ghezelbash 

作者机构：Department of Industrial EngineeringTarbiat Modares UniversityTehranIran Department of IndustrialMechanical and Aerospace EngineeringBuein Zahra Technical UniversityBuein ZahraQazvinIran 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2020年第6卷第1期

页      面：313-346页

核心收录：

学科分类：0202[经济学-应用经济学] 02[经济学] 

主　　题：Portfolio selection Financial engineering Fuzzy analytic network process(FANP) Multiple-criteria decision-making(MCDM) 

摘      要：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 ***,there are many other important criteria that have been *** 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 ***,the finalized criteria were applied in an FANP to rank 10 different TSE *** results indicated that profitability,growth,market,and risk are the most important criteria for portfolio ***,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 *** and directions for future research are discussed.