Document Type : Original Article

Authors

• Mehrdad Rasoulzadeh ¹
• Seyyed Ahmad Edalatpanah ²
• mohammad fallah ¹
• esmaeil najafi ³

¹ Department of Industrial Engineering, Central Tehran Branch, Islamic Azad University, Tehran, Iran.

² Department of Applied Mathematics, Ayandegan Institute of Higher Education, Tonekabon, Iran.

³ Department of Industrial Engineering, Science and Research Branch, Islamic Azad University, Tehran, Iran.

Abstract

Goal: Increasing the wealth of shareholders is one of the most important goals of financial management. This issue is always intertwined with the two concepts of risk and return at the same time, so that

hareholders always seek to increase portfolio return by controlling and minimizing risk, or seeking to reduce risk at a certain level of Returns are expected. For this purpose, investors mainly use the concepts of fundamental analysis and paying attention to the internal structure and financial performance of companies, or paying attention to the changes and price fluctuations of stocks in the market, or a combination of both methods.

Research methodology: In this research, by combining the Markowitz model with fuzzy returns with the network data coverage analysis model, we will achieve a multi-objective model, which by considering the performance of companies based on some financial ratios and its effect on the stock market value, Also, price fluctuations will try to introduce stock portfolios in the best possible situations in terms of risk, return and efficiency of the stock portfolio. Finally, in order to use the model in selecting an optimal portfolio, 50 companies were selected from the active companies in the Tehran Stock Exchange, and the said model was implemented on them. Also, multi-objective algorithm with non-dominated sorting was used to solve the model.

Findings: The results obtained from the implementation of the model on 50 companies active in the stock exchange show that the use of the proposed model is better than the use of any of Markobetz's models or network data coverage analysis alone, and also the ratio The non-network model provides investors with better results in terms of returns, risk and efficiency.

Keywords

• Stock portfolio optimization
• cross network data coverage analysis
• trapezoidal fuzzy
• Markowitz mean-variance model

Main Subjects

• Fuzzy Optimization