نویسندگان
دانشکده مدیریت دانشگاه تهران
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Over the last six decades, many methods have been proposed for investment portfolio selection by financial researchers. Portfolio selection model of Markowitz is based on only two criteria: risk and return. However, appropriate stocks selection to construct a portfolio is a complex process and its complexity is due to impact of different criteria in investment decisions and also personal preferences of investors that are expressed by linguistic terms. This paper has a new integrated approach for portfolio selection that includes two steps: in the first step, logarithmic fuzzy preference programming method is used to allocate weights to criteria of stocks selection. In the second step, the stocks in selected sample are ranked using PROMETHEE method and premier stocks are selected for portfolio construction. This method is used to decide which stocks should be selected and what proportions the investment capital should be allocated to each stock. The result of this research showed that there is a significant difference between the mean of monthly sharpe ratio of 3, 5 and 50 shares portfolios obtained from the proposed model and Markowitz model; however, there is no a significant difference between the mean of monthly sharpe ratio of 10 shares portfolio obtained from the proposed model and Markowitz model
کلیدواژهها [English]
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