A new Method for Sustainable Portfolio Selection with DEA, TOPSIS and MIP in Stock exchange

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Rezaei nokandeh Soghra; VAEZ GHASEMI MOHSEN

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:43 Page(s): 474-515

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Information Journal Paper

Title

A new Method for Sustainable Portfolio Selection with DEA, TOPSIS and MIP in Stock exchange

Author(s)

Rezaei nokandeh Soghra | VAEZ GHASEMI MOHSEN | Issue Writer Certificate

Keywords

Portfolio SelectionQ2

DEAQ1

TOPSISQ2

Linear ProgramingQ2

Abstract

In today's highly competitive world, the condition of survival and participation in the field of activity, functioning and efficient and effective, is not achieved except through continuous planning, monitoring, control and evaluation. In this regard, we tried to present a mathematical hybrid model for selecting and planning an optimal composition of the shares according to the goals and priorities, in order to obtain the highest compatibility between the final selection and the initial ranking of each share. The proposed model consists of three steps and several steps, the SBM method of data envelopment analysis (DEA) (for initial stock revisions, multi-factor decision-making (TOPSIS)) in uncertainty conditions, for the assessment and ranking of shares in two individual steps and categorized and integer linear programming (IP) for choosing the best stock portfolio with increased scores according to the organization's priorities and constraints. Collect information from reputable sites of five industries active automotive, pharmacy, petrochemical, cement and food industries to the best stock portfolio for investment, due to the impact of algorithms and methods.

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APA: Copy

Rezaei nokandeh, Soghra, & VAEZ GHASEMI, MOHSEN. (2020). A new Method for Sustainable Portfolio Selection with DEA, TOPSIS and MIP in Stock exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(43 ), 474-515. SID. https://sid.ir/paper/397613/en

Vancouver: Copy

Rezaei nokandeh Soghra, VAEZ GHASEMI MOHSEN. A new Method for Sustainable Portfolio Selection with DEA, TOPSIS and MIP in Stock exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(43 ):474-515. Available from: https://sid.ir/paper/397613/en

IEEE: Copy

Soghra Rezaei nokandeh, and MOHSEN VAEZ GHASEMI, “A new Method for Sustainable Portfolio Selection with DEA, TOPSIS and MIP in Stock exchange,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 43 , pp. 474–515, 2020, [Online]. Available: https://sid.ir/paper/397613/en

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