Title: A hybrid fuzzy decision making method for a portfolio selection: a case study of Tehran Stock Exchange

Authors: Abolfazl Kazemi; Keyvan Sarrafha; Mahdi Beedel

Addresses: Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, P.O. Box 34185-1416, Qazvin, Iran ' Young Researches and Elite Club, Qazvin Branch, Islamic Azad University, P.O. Box 34185-1416, Qazvin, Iran ' Faculty of Administrative Sciences and Economics, Department of Accounting, University of Isfahan, P.O. Box 81746-73441, Isfahan, Iran

Abstract: The problem of choosing an optimal portfolio is the most significant issue for any investor in the stock exchange market. The present study seeks to prioritise seven companies through pioneer industries on Tehran Stock Exchange market by opting for suitable financial guidelines as well effective criteria in uncertain environments. To do so, a hybrid fuzzy decision making procedure was applied. Having determined the criteria, Delphi method approach was used as a process in fuzzy pairwise comparison of criteria and alternatives in fuzzy AHP. Alternatives then weighed up in fuzzy TOPSIS method to achieve a coordinated and balanced view. Finally, to evaluate the results against real conditions of Tehran exchange market, they were compared with the actual annually returns of these same companies on the market.

Keywords: portfolio selection; Delphi method; decision making; fuzzy AHP; FAHP; analytical hierarchy process; fuzzy TOPSIS; financial ratios; Tehran Stock Exchange; Iran; stock markets.

DOI: 10.1504/IJISE.2014.065537

International Journal of Industrial and Systems Engineering, 2014 Vol.18 No.3, pp.335 - 354

Received: 15 May 2013
Accepted: 04 Jul 2013

Published online: 31 Oct 2014 *

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