PORTFOLIO SELECTION BY USING MULTI ATTRIBUTE DECISION MAKING BASED ON GREY RELATIONAL ANALYSIS AND LINEAR PROGRAMMING

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ANVARI ROSTAMI ALI ASGHAR; TAGHAVI MAHDIS; AGHABABAEI MOHAMMAD EBRAHIM

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2018 | Volume:11 | Issue:38 Page(s): 29-41

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Title

PORTFOLIO SELECTION BY USING MULTI ATTRIBUTE DECISION MAKING BASED ON GREY RELATIONAL ANALYSIS AND LINEAR PROGRAMMING

Author(s)

ANVARI ROSTAMI ALI ASGHAR | TAGHAVI MAHDIS | AGHABABAEI MOHAMMAD EBRAHIM | Issue Writer Certificate

Keywords

PORTFOLIO SELECTIONQ2

MULTI-CRITERIA DECISION MAKINGQ2

SHANNON ENTROPYQ2

GREY SYSTEM THEORYQ2

LINEAR PROGRAMMING MODELQ2

Abstract

One of the most important challenges in the stock market for investors is selecting Portfolio. This study by considering the financial ratios as evaluating indicators tries to determine appropriate model for investment decisions in stocks. In this study, the combination of respectively models, linear regression, multi attribute decision making and linear programming were used to forecast the future of financial ratio trends, ranking companies and asset allocation. In the first step of study, after selecting 17 financial ratios and indicators as variables of the hybrid model, their values from the first quarter of 2007 to the first quarter of 2015 was calculated for companies included in the sample. Then by using the moving average with exogenous inputs and Auto Regressive Moving Average with exogenous input, these variables were predicted for the studied period (second quarter 2015). In the next step, we used SHANNON ENTROPY to determine the weight of indexes and the grey relational analysis for ranking companies. Finally, by using a LINEAR PROGRAMMING MODEL, a model was developed to select the optimal portfolio. According to this model, a portfolio of stocks formed and by using the Sharp ratio, its performance was compared with the overall index and the top 50 index. The results showed that the hybrid model has had a better performance than the overall index and the top 50 index, in the period of the study.

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APA: Copy

ANVARI ROSTAMI, ALI ASGHAR, TAGHAVI, MAHDIS, & AGHABABAEI, MOHAMMAD EBRAHIM. (2018). PORTFOLIO SELECTION BY USING MULTI ATTRIBUTE DECISION MAKING BASED ON GREY RELATIONAL ANALYSIS AND LINEAR PROGRAMMING. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(38 ), 29-41. SID. https://sid.ir/paper/200267/en

Vancouver: Copy

ANVARI ROSTAMI ALI ASGHAR, TAGHAVI MAHDIS, AGHABABAEI MOHAMMAD EBRAHIM. PORTFOLIO SELECTION BY USING MULTI ATTRIBUTE DECISION MAKING BASED ON GREY RELATIONAL ANALYSIS AND LINEAR PROGRAMMING. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2018;11(38 ):29-41. Available from: https://sid.ir/paper/200267/en

IEEE: Copy

ALI ASGHAR ANVARI ROSTAMI, MAHDIS TAGHAVI, and MOHAMMAD EBRAHIM AGHABABAEI, “PORTFOLIO SELECTION BY USING MULTI ATTRIBUTE DECISION MAKING BASED ON GREY RELATIONAL ANALYSIS AND LINEAR PROGRAMMING,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 38 , pp. 29–41, 2018, [Online]. Available: https://sid.ir/paper/200267/en

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