STOCK SCREENING OF TEHRAN STOCK EXCHANGE (TSE) WITH USE OF MULTIPLE CRITERIA DECISION MAKING, MEMBERSHIP FUNCTIONS OF FUZZY THEORY AND OPTIMIZATION

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OWJI MOHAMMAD; RAHMANI ALI; HEJAZI REZVAN

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2011 | Volume:2 | Issue:8 Page(s): 79-97

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Title

STOCK SCREENING OF TEHRAN STOCK EXCHANGE (TSE) WITH USE OF MULTIPLE CRITERIA DECISION MAKING, MEMBERSHIP FUNCTIONS OF FUZZY THEORY AND OPTIMIZATION

Author(s)

OWJI MOHAMMAD | RAHMANI ALI | HEJAZI REZVAN | Issue Writer Certificate

Keywords

STOCK SCREENINGQ2

MULTIPLE CRITERIA OPTIMIZATIONQ3

LOCAL CRITERIAQ2

MEMBERSHIP FUNCTIONSQ2

GENERAL CRITERIAQ2

Abstract

Stock screenig is used by investors and creditors for more time. Major point about that is using ways with so accuracy to obtain best consequences. Our research is screening of Tehran Stock Exchange (TSE) with use of multi-criteria decision making and Fuzzy Logic. Selecting of best stock only with use of one criterion is not possible, therefore that should know better to use some criteria. In the research, rank of criteria obtained with the use of AHP method and expert's opinions about the LOCAL CRITERIA relative importance then LOCAL CRITERIA were built in the form MEMBERSHIP FUNCTIONS, (in terms of Fuzzy Set Theory) rising from 0 to 1 in intervals between the lowest and highest values of corresponding amounts. Two GENERAL CRITERIA have used for the research that they are GENERAL CRITERIA of financial health in the last year and GENERAL CRITERIA of market success of current year. For the GENERAL CRITERIA of financial health has used seven financial ratios and 2 criteria, maximum of return and maximum of loss, for GENERAL CRITERIA of market success for 3 years. Using of AHP method was given ranks to criteria by expert's opinions, so matrix of linguistic pair comparisons is used for obtained rank of criteria. We have three analyzing channels and most of the firms can be placed only in one of channels. Therefore, to make the results of our analysis more reliable, we are looking for the firms containing simultaneously at least in two channels. We used optimization problem that it helps to better consequences and doesn't need expert's opinions.

Cites

OPTIMIZED MULTI-CRITERIA APPROACH TO SELECT STOCKS USING FUNDAMENTAL ANALYSIS VARIABLES IN PETROCHEMICAL COMPANIES OF STOCK

References

ارزیابی رتبه بندی شرکت ها بر اساس اطلاعات حسابداری و غیر حسابداری و مقایسه آن با رتبه بندی شرکت ها در بورس اوراق بهادار تهران

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APA: Copy

OWJI, MOHAMMAD, RAHMANI, ALI, & HEJAZI, REZVAN. (2011). STOCK SCREENING OF TEHRAN STOCK EXCHANGE (TSE) WITH USE OF MULTIPLE CRITERIA DECISION MAKING, MEMBERSHIP FUNCTIONS OF FUZZY THEORY AND OPTIMIZATION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(8), 79-97. SID. https://sid.ir/paper/197653/en

Vancouver: Copy

OWJI MOHAMMAD, RAHMANI ALI, HEJAZI REZVAN. STOCK SCREENING OF TEHRAN STOCK EXCHANGE (TSE) WITH USE OF MULTIPLE CRITERIA DECISION MAKING, MEMBERSHIP FUNCTIONS OF FUZZY THEORY AND OPTIMIZATION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2011;2(8):79-97. Available from: https://sid.ir/paper/197653/en

IEEE: Copy

MOHAMMAD OWJI, ALI RAHMANI, and REZVAN HEJAZI, “STOCK SCREENING OF TEHRAN STOCK EXCHANGE (TSE) WITH USE OF MULTIPLE CRITERIA DECISION MAKING, MEMBERSHIP FUNCTIONS OF FUZZY THEORY AND OPTIMIZATION,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 8, pp. 79–97, 2011, [Online]. Available: https://sid.ir/paper/197653/en

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