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Rezaeian2015 Stock Portfolio Selection Using A Hybrid Fuzzy Approach A Case Study in Tehran Stock Exchange
Rezaeian2015 Stock Portfolio Selection Using A Hybrid Fuzzy Approach A Case Study in Tehran Stock Exchange
4, 2015 423
1 Introduction
matter how accurate the past data is, this presumes will not exist in the financial market
due to the high volatility of market environment. For this reason, fuzzy set theory is
invited into the measurement of performance.
In the area of optimisation problems under uncertainty, fuzzy mathematical
programming which incorporates uncertainty by fuzzy concepts has been widely used
since the pioneering work by Zadeh (1965). Bilbao-Terol et al. (2006) considered fuzzy
compromise programming for portfolio selection. Chen and Huang (2009) presented
portfolio selection model with fuzzy returns and risks.
Fei (2007) concentrated on the optimal consumption and portfolio selection in fuzzy
environment. Li and Xu (2009) constructed a new portfolio selection model which
considering the returns of each security to be fuzzy random variable.
Qin et al. (2009) presented mathematical models and designed a hybrid intelligent
algorithm for portfolio selection with minimising the variance of the fuzzy investment
return. Tiryaki and Ahlatcioglu (2009) applied fuzzy AHP in portfolio selection to
provide both ranking and weighting information for investors.
Leung et al. (2003) showed many traditional MCDM techniques in crisp or fuzzy
environment are based on independence assumptions, but each individual criterion is not
always completely independent. The analytical network process (ANP) method proposed
by Saaty (1996) for considering interactions between elements. In this method, the
treatments of inner dependences are not complete and perfect. So, decision making trial
and evaluation laboratory (DEMATEL) method which was proposed by Fontela and
Gabus (1976) can be used to consider the inner dependences among criteria. Deng (1999)
discussed that MCDM methods are often criticised for their inability to adequately deal
with the uncertainty and imprecision associated with the mapping of the decision makers’
perception to crisp numbers. This method is based on digraphs, which can separate
involved factors into cause group and effect group and these separations are useful in
critical situation.
In the literature, there are some realised studies that combine ANP and DEMATEL
methodologies in another fields and discuses about advantages of these combinations.
Chen and Chen (2010) presented an innovation support system for Taiwanese higher
education using a novel conjunctive MCDM approach based on DEMATEL, fuzzy ANP.
Lin et al. (2010) evaluated vehicle telemetric system by using DEMATEL, ANP, and
TOPSIS techniques with dependence and feedback. These kinds of combined works
illustrated better performance for decision makers.
To our knowledge, for portfolio selection there no previous work investigated such a
problem by an integrated method with DEMATEL, ANP, in fuzzy environment.
As a result, the purpose of this study is establishing an investment decision model to
provide investors with novel hybrid MCDM model consisting of combined fuzzy
DEMATEL with fuzzy ANP. Fuzzy ANP is used to compute final ranking of the
portfolio alternatives. Fuzzy DEMATEL is applied to deal with inner dependencies
between criteria and then to build a network relation map between criteria for portfolio
evaluation. An empirical study is presented to illustrate the application of the proposed
method. Gold metal, industrial oils and bank are taken as evaluation objectives from
Tehran Stock Exchange. The rest of this paper is organised as follows: in Section 2 the
effective factors are identified. In Section 3, the description and application of the novel
MCDM are included. Fuzzy set theory, CFCS defuzzification method, fuzzy ANP and
fuzzy DEMATEL are described in Section 4. Section 5 shows an empirical study of
426 J. Rezaeian and F. Akbari
selecting the optimal portfolio by using the proposed evaluation model, and Section 6
includes outputs and the results are discussed. The conclusions and remarks are provided
in the final section.
2 Criteria identification
In this section, a methodology based on combined fuzzy DEMATEL and fuzzy ANP for
portfolio selection problem is proposed. The overall schema of proposed algorithm is
depicted in Figure 1.
This methodology consists of following steps:
Step 1 Determining the goal of the problem.
Step 2 Creating a list of superior stocks for portfolio selection.
Step 3 Identification of evaluation criteria.
In this step, the criteria that are more important than other criteria in portfolio
selection are selected by interviewing experts and managers.
Step 4 Constructing relation network structure.
Step 5 Collecting data.
In this step, the pair-wise comparisons matrices will be obtained by using
experts’ judgements. These matrices are the pair-wise comparisons of criteria
related to the goal, and the pair-wise comparisons of alternatives related to each
criterion separately.
Step 6 Collecting data related to criteria based on their inner relation.
In this step, by using questionnaires pair-wise comparisons are separately
constructed based on linguistic variables.
Step 7 Converting the data of Step 5 to fuzzy numbers based on the scales in Table 3.
Step 8 Defuzzyfication of matrices which are obtained from Step 7 by CFCS method in
equations (2) to (9).
Step 9 Calculating weights by using fuzzy ANP.
In this step, first matrices of Step 8 are aggregated by equation (10) and then
applying fuzzy ANP for calculating crisp integrated values and final weights for
12 main criteria with respect to goal and crisp integrated values and final
weights for three alternatives with respect to each criterion.
Step 10 Converting data from Step 6 to fuzzy numbers based on scales are mentioned in
Table 4.
Stock portfolio selection using a hybrid fuzzy approach 429
Goal
Relation network
C1 ……
structure
C2 Cn
Data
collection
A1 ..… A2 An
CFCS method
Data
Collection
Experts’
opinion Experts’
opinion
Applying fuzzy DEMATEL method
Normalisation
C1
...
Cn Computing lower and
D+R
Computing
crisp value
after calculating the total relation matrix T in fuzzy DEMATEL and before
inserting into unweighted supermatrix, the total relation matrix T should be
normalised (Wu and Hung, 2008).
Step 15 Ranking alternatives for best investing.
In this step, the final weights of alternatives will be calculated and the best
alternatives will be selected by using ANP technique and by calculating
weighted and limited supermatrix. To achieve weighted supermatrix at first the
columns of unweighted supermatrix must be normalised, it means, the sum of
each column of the unweighted matrix should be equal to 1. To obtain the
limited supermatrix, weighted matrix is raised to the power of 2p + 1; where p is
an arbitrarily large number until it reaches the convergence. Finally, having the
limited supermatrix, the global priorities of all the elements can be obtained. The
calculations of the supermatrix can be easily solved by using the professional
software named ‘super decisions’, and then the overall priorities were obtained
from the limit supermatrix.
4 Evaluation methods
μ A ( x) = 0 indicates that x does not belong to the fuzzy set A . where μ A ( x) is the
membership function and X = {x} represents a collection of elements x.
Definition 4: A triangular fuzzy number N can be defined as a triplet (l, m, r) and the
membership functional N is defined as equation (1).
⎧ 0, x < l,
⎪ x−l
f ( x) = ⎪ , l ≤ x ≤ 0, (1)
⎨m−l
⎪r−x
⎪ , l ≤ x ≤ 0.
⎩r − m
Stock portfolio selection using a hybrid fuzzy approach 431
xrijk
xrsijk = . (7)
1 + xrijk − xmijk
Z ijk is a crisp value of comparison between the criteria or alternatives i and j for the kth
evaluator that should be calculated through CFCS method. Also, zij is the aggregated
crisp value of comparison between the criteria or alternative i and j. After all steps of
CFCS method to aggregate k evaluator’s opinion of decision maker’s equation (10)
should be calculated.
The final weight of each criteria or alternative can be calculated by equation (11) which
is introduced by Saaty (1980).
(∏ )
1
n n
zij
j =1
Wi = , i, j = 1, 2, ..., n. (11)
∑ (∏ z )
1
n n n
ij
i =1 j =1
C1 C2 " Cn
e11 e12 " e1m1 e21 e22 " e2 m2 en1 en 2 " enmn
e11 ⎛ ⎞
e12 ⎜ ⎟
C1 ⎜ W11 W12 " W1n ⎟
# ⎜ ⎟
e1m1 ⎜ ⎟
e11 ⎜ ⎟
⎜ ⎟
e21 ⎜ ⎟
C2 ⎜ W21 W22 " W2 n ⎟
#
W= ⎜ ⎟
e2 m2 ⎜ ⎟
⎜ ⎟
# ⎜ # # # # ⎟
⎜ ⎟
en1 ⎜ ⎟
en 2 ⎜ ⎟
Cn Wn1 Wn 2 " Wnn
# ⎜ ⎟
⎜ ⎟⎟
enmn ⎜⎝ ⎠
Because the real world is actually full of ambiguities and often unclear and hard to
estimate by exact numerical values or in one word is fuzzy, several researches have
combined fuzzy theory with ANP method. Triangular fuzzy numbers are used, since they
Stock portfolio selection using a hybrid fuzzy approach 433
help the decision maker to make easier decisions (Kaufmann and Gupta, 1988) and they
are used as the membership function, which are illustrated in Table 3.
Table 3 Triangular fuzzy numbers of ANP method
Linguistic scale for Linguistic scale for Triangular fuzzy Triangular fuzzy
difficulty importance numbers reciprocal numbers
Just equal Just equal (1, 1, 1) (1, 1, 1)
Equally difficult (ED) Equally important (EI) (1/2, 1, 3/2) (2/3, 1, 2)
Weakly more Weakly more (1, 3/2, 2) (1/2, 2/3, 1)
difficult (WMD) important(WMI)
Strongly more Strongly more important (3/2, 2, 5/2) (2/5, 1/2, 2/3)
difficult (SMD) (SMI)
Very strongly more Very strongly more (2, 5/2, 3) (1/3, 2/5, 1/2)
difficult (WSMD) important (WSMI)
Absolutely more Absolutely more (5/2, 3, 7/2) (2/7, 1/3, 2/5)
difficult (AMD) important (AMI)
4.4 DEMATEL
DEMATEL was basically developed to deal with intricacy in local and worldwide
problems effectively (Fontela and Gabus, 1976). It is a comprehensive method for
building and analysing a structural model involving identification of the relations
between causes and effects of complex problems. The method is based on the concept of
pair-wise comparison of decision-making criteria that indicates the effect of the criteria i
on criteria j.
In recent years, the DEMATEL method has become very popular because it is
especially sensible to visualise the structure of complicated causal relationships.
Specifically, the DEMATEL method is based on digraphs, which can separate involved
factors into cause group and effect group. A digraph may typically depict a
communication network, or some domination relation between individuals which
illustrate the directed relationships of sub-systems. The steps of this method are as
follows:
Step 1 Finding the direct-relation matrix
Direct relation matrix shows the degree of effect that each criterion has on other
criteria. In this step, an expert fills such a matrix, i.e., a matrix which shows the
degree of effect criteria i on criteria j. These weights of effect can be expressed
by words such as 0 (no influence), 1 (low influence), 2 (high influence), and
3 (very high influence). This matrix is named the direct-relation matrix that is a
n × n matrix Z. Also, zij in matrix Z indicates the degree of effect criteria i on
criteria j.
Step 2 Normalising the direct-relation matrix
The normalised direct-relation matrix S can be calculated through equations (12)
and (13), all main diagonal elements matrix X are equal to zero (Chiu et al.,
2006).
434 J. Rezaeian and F. Akbari
X = K ×Z (12)
⎛ 1 1 ⎞
k = Min ⎜ , ⎟,
∑ ∑
n n
⎜ Max i =1 zij Max zij ⎟ (13)
⎝ j =1 ⎠
1 ≤ i ≤ n, 1 ≤ j ≤ n,
n
R= ∑s
i =1
ij ∀j = 1, 2, ..., n. (16)
Several researchers have combined fuzzy theory with DEMATEL. Linguistic variables
that are used in fuzzy DEMATEL are shown in Table 4.
Stock portfolio selection using a hybrid fuzzy approach 435
5 Case study
In this section, an empirical case for portfolio selection of Tehran Stock Exchange is used
to demonstrate that the proposed hybrid method is more appropriate, especially when the
independent and dependent characteristics of criteria exist simultaneously.
In order to formulate this model, the following notations are defined.
Parameters:
C index for criteria
A index for alternative
X normalised direct-relation matrix
T total-relation matrix
S direct-relation matrix
D sum of row total-relation matrix
R sum of column total-relation matrix.
The steps are as follows:
Step 1 Determining the goal of problem
May firms and investors in stock markets need to continuously invest to
profitable growth, development and guarantee the future activities. However,
organisations and investors are often dealt with several superior stocks in order
to implement and have to select one that is better adapted to financial goals. If
decision makers have been an unsuitable selection, then they are confronted with
negative consequences such as losing the benefits. Therefore, selecting a
suitable portfolio have become one of most important decision issues for firms
or international industries or individual investors in order to reduce risk and
maximise the return. Here, we focus specifically on selecting suitable portfolio
at Tehran Stock Exchange.
Step 2 Creating a list of stocks for portfolio selection
In this case, three possible alternatives of stock market areas follow: gold (A1),
bank (A2) and industrial oils (A3) are selected to remain for further evaluation
after preliminary screening.
Step 3 Identification of evaluation criteria
At first, we assembled a set of 20 evaluators in which included staff from the
government sector of stock organisation who are in charge of economic
departments, and academic experts.
According to the proposals of evaluators, a suitable set of evaluation criteria are
selected. Risk, return, liquidity, dividend, suitability, intrinsic value per share,
security, financial ratios, free float, turnover rates, type of industry and market
trend are selected as main criteria for evaluating.
436 J. Rezaeian and F. Akbari
Goal
Return (C2) Suitability (C5) Financial ratio (C8) Type of industry (C11)
Liquidity (C3) Intrinsic value per share (C6) Free float (C9) Market trend (C12)
Table 6 The fuzzy pair-wise comparisons with respect to the goal for one evaluator
Goal C1 C2 C3
C1 * * * 1 1 1 0.5 1 1.5
C2 1 1 1 * * * 1 1 1
C3 0.666 1 2 1 1 1 * * *
C4 0.666 1 2 0.666 1 2 0.666 1 2
C5 0.4 0.5 0.666 0.666 1 2 1 1 1
C6 0.333 0.4 0.5 0.333 0.4 0.5 0.4 0.5 0.666
C7 0.5 0.666 1 0.4 0.5 0.666 0.666 1 2
C8 0.4 0.5 0.666 0.4 0.5 0.666 0.5 0.666 1
C9 0.333 0.4 0.5 0.333 0.4 0.5 0.4 0.5 0.666
C10 0.4 0.5 0.666 0.333 0.4 0.5 0.333 0.4 0.5
C11 0.333 0.4 0.5 0.333 0.4 0.5 0.333 0.4 0.5
C12 0.333 0.4 0.5 0.4 0.5 0.666 0.4 0.5 0.666
Goal C4 C5 C6
C1 0.5 1 1.5 1.5 2 2.5 2 2.5 3
C2 0.5 1 1.5 0.5 1 1.5 2 2.5 3
C3 0.5 1 1.5 1 1 1 1.5 2 2.5
C4 * * * 0.5 1 1.5 1 1.5 2
C5 0.666 1 2 * * * 1 1.5 2
C6 0.5 0.666 1 0.5 0.666 1 * * *
C7 0.666 1 2 0.666 1 2 1.5 2 2.5
C8 0.4 0.5 0.666 0.5 0.666 1 1 1.5 2
C9 0.333 0.4 0.5 0.666 1 2 0.666 1 2
C10 0.666 1 2 0.666 1 2 1 1.5 2
C11 0.333 0.4 0.5 0.333 0.4 0.5 0.5 1 1.5
C12 0.333 0.4 0.5 0.5 0.666 1 0.5 1 1.5
Goal C7 C8 C9
C1 1 1.5 2 1.5 2 2.5 2 2.5 3
C2 1.5 2 2.5 1.5 2 2.5 2 2.5 3
C3 0.5 1 1.5 1 1.5 2 1.5 2 2.5
C4 0.5 1 1.5 1.5 2 2.5 2 2.5 3
C5 0.5 1 1.5 1 1.5 2 0.5 1 1.5
C6 0.4 0.5 0.666 0.5 0.666 1 0.5 1 1.5
C7 * * * 1.5 2 2.5 1.5 2 2.5
C8 0.666 1 2 * * * 0.5 1 1.5
C9 0.666 1 2 0.666 1 2 * * *
C10 0.333 0.4 0.5 0.5 0.666 1 0.666 1 2
C11 0.333 0.4 0.5 0.666 1 2 0.666 1 2
C12 0.666 1 2 1 1.5 2 0.666 1 2
438 J. Rezaeian and F. Akbari
Table 6 The fuzzy pair-wise comparisons with respect to the goal for one evaluator
(continued)
Step 6 The results of Step 6 and Steps 10 to 12 are shown in Table 21 and that is named
direct relation matrix.
Step 7 In this study, because of limitation of space, the conversion off or one evaluator
which is applied in Step 5, is shown in Table 6.
Step 8 Table 7 shows defuzzyfication of matrix for one evaluator from Step 7.
Step 9 Aggregation and applying fuzzy ANP for calculating the final weights with
respect to goal and crisp integrated values for three alternatives with respect to
each criterion are illustrated in Tables 8 to 20.
The results Steps 10 to 12 are shown in Table 21 and that is named direct
relation matrix.
Step 13 In this step, the normalised direct-influence matrix S for criteria can be
calculated by equations (12) and (13), (Table 22). The total direct-influence
matrix T for criteria was derived based on equation (14) (Table 23).
This paper uses fuzzy DEMATEL to construct a suitable evaluation network
framework which is included interdependent, dependent and independent
structure. According to the total-relation matrix, we can obtain a useful causal
diagram and evaluation hierarchical/network framework by calculating the
D + R and D–R (Table 24).
Each D + R index represents the ‘prominence’ of each criterion or the
importance degree of each criterion. Also, D–R index is called the ‘relation’ and
can divide the criteria into cause group and effect group. The positive value of
D–R indicates that the criterion belongs to the cause group. Also, the negative
value of D–R indicates that the criterion belongs to the effect group. Finally, the
causal diagram can be obtained by drawing (D + R, D–R) points for each
criterion. The causal diagram is shown in Figure 4.
Table 7
C6 0.403929 0.403929 0.510923 0.702676 0.702676 1 0.510923 0.702676 1.028695 0.702676 1.154344 1.154344
C7 0.702676 0.510923 1.154344 1.154344 1.154344 1.985642 1 1.985642 1.985642 2.464115 2.464115 1.985642
C8 0.510923 0.510923 0.702676 0.510923 0.702676 1.507168 1.154344 1 1.028695 1.507168 1.028695 0.702676
C9 0.403929 0.403929 0.510923 0.403929 1.154344 1.154344 1.154344 1.154344 1 1.028695 1.028695 1.028695
C10 0.510923 0.403929 0.403929 1.154344 1.154344 1.507168 0.403929 0.702676 1.154344 1 0.702676 0.702676
C11 0.403929 0.403929 0.403929 0.403929 0.403929 1.028695 0.403929 1.154344 1.154344 1.507168 1 1.028695
Stock portfolio selection using a hybrid fuzzy approach
C12 0.403929 0.510923 0.510923 0.403929 0.702676 1.028695 1.154344 1.507168 1.154344 1.507168 1.154344 1
439
440
Table 8
respect to goal
C3 2.9646363 2.4806019 1 1 1.5125329 2.4806019 1.9965674 1.9965674 1.0284985 2.4806019 1 2.4806019 0.1275024
C4 2.4806019 2.4806019 1 1 1.9965674 1.9965674 1.5125329 1.5125329 1.0284985 2.4806019 1.1556276 2.4806019 0.1201297
C5 1.9965674 1.9965674 0.7001067 0.5100525 1 1 1.0284985 1.1556276 0.7001067 1.5125329 0.5100525 1.9965674 0.0802203
C6 1.9965674 1.9965674 0.4036896 0.5100525 1 1 1.1556276 0.7001067 0.7001067 1.5125329 0.3345384 1.5125329 0.0729165
C7 2.4806019 2.4806019 0.5100525 0.7001067 1.1556276 1.0284985 1 1 1.0284985 1.9965674 1.1556276 1.9965674 0.0940166
C8 2.4806019 1.5125329 0.5100525 0.7001067 1.0284985 1.5125329 1 1 1 1.9965674 1.1556276 1.9965674 0.090379
C9 2.4806019 2.4806019 1.1556276 1.1556276 1.5125329 1.5125329 1.1556276 1 1 1.9965674 1.0284985 2.4806019 0.1078129
C10 1 1.0284985 0.4036896 0.4036896 0.7001067 0.7001067 0.5100525 0.5100525 0.5100525 1 0.3345384 1.5125329 0.0489812
C11 2.9646363 2.9646363 1 1.0284985 1.9965674 2.9646363 1.0284985 1.0284985 1.1556276 2.9646363 1 2.4806019 0.1283874
C12 1.5125329 1 0.4036896 0.4036896 0.5100525 0.7001067 0.5100525 0.5100525 0.4036896 0.7001067 0.4036896 1 0.0458214
Aggregation and final weights and crisp integrated values for 12 main criteria with
Stock portfolio selection using a hybrid fuzzy approach 441
C1 A1 A2 A3 Weights
A1 1 1.025 1.30648 0.358556
A2 1.130911 1 1 0.336969
A3 0.828999 1 1 0.304475
C2 A1 A2 A3 Weights
A1 1 1.025 1.016598 0.325825
A2 1.130911 1 1.147727 0.351218
A3 1.085473 0.929355 1 0.322957
C3 A1 A2 A3 Weights
A1 1 1.437775 1.482264 0.418274
A2 0.743483 1 1 0.292734
A3 0.708414 1 1 0.288992
C4 A1 A2 A3 Weights
A1 1 1.025 1.008265 0.324708
A2 1.130911 1 1.30648 0.367969
A3 1.04186 0.828999 1 0.307323
C5 A1 A2 A3 Weights
A1 1 1.157213 1.016598 0.338235
A2 0.968258 1 1.025 0.318993
A3 1.085473 1.130911 1 0.342772
C6 A1 A2 A3 Weights
A1 1 1.016598 1.147727 0.34473
A2 1.085473 1 1 0.336139
A3 0.929355 1 1 0.319131
C7 A1 A2 A3 Weights
A1 1 1.786359 1.489563 0.447559
A2 0.570888 1 1 0.269094
A3 0.707061 1 1 0.283347
442 J. Rezaeian and F. Akbari
C8 A1 A2 A3 Weights
A1 1 1.157083 1.162435 0.353605
A2 0.972562 1 1.162435 0.333949
A3 0.966561 0.966561 1 0.312445
C9 A1 A2 A3 Weights
A1 1 1.437775 1.482264 0.418274
A2 0.743483 1 1 0.292734
A3 0.708414 1 1 0.288992
C10 A1 A2 A3 Weights
A1 1 1.025 1.214496 0.348755
A2 1.130911 1 1.012423 0.338402
A3 0.842478 1.063443 1 0.312843
C11 A1 A2 A3 Weights
A1 1 1.024828 1.222725 0.347044
A2 1.138459 1 1.237915 0.36081
A3 0.840264 0.893573 1 0.292146
C12 A1 A2 A3 Weights
A1 1 1.025 1.511875 0.373463
A2 1.130911 1 1 0.330597
A3 0.802686 1 1 0.295939
Figure 4 The casual diagram between criteria (see online version for colours)
Table 21
C5 0.1759344 0.2456179 0.4153366 0.3429014 1 0.7667625 0.6649116 0.6244013 0.6467946 0.6741089 0.1581157 0.5827772
C6 0.1003977 0.1160734 0.2001159 0.1429031 0.7798711 1 0.5227141 0.4422831 0.6244013 0.8041756 0.3794045 0.6073881
C7 0.1749477 0.1429031 0.2725987 0.1521745 0.7301164 0.7301164 1 0.356289 0.2839676 0.7882399 0.1625446 0.547271
C8 0.4470292 0.1236041 0.3794045 0.1429031 0.6835361 0.7178442 0.7882399 1 0.1620474 0.8330163 0.0847321 0.6908712
C9 0.0662378 0.0437006 0.0410381 0.7026823 0.7379514 0.7178442 0.2950543 0.2893966 1 0.7102228 0.2001159 0.8330163
C10 0.356289 0.2623558 0.4197936 0.2785225 0.5069162 0.6027833 0.6467946 0.7505673 0.5765898 1 0.3701992 0.6224912
C11 0.0871055 0.1521745 0.0454068 0.2839676 0.5356314 0.3888387 0.2623558 0.1284299 0.0559023 0.7505673 1 0.4961348
Stock portfolio selection using a hybrid fuzzy approach
C12 0.2902846 0.0333333 0.0454068 0.4948662 0.7301164 0.6908712 0.4826165 0.6908712 0.7966985 0.8190144 0.3033189 1
443
444
Table 22
C3 0.04864 0.0327 0.0617 0.01614 0.03841 0.03482 0.02906 0.03708 0.00939 0.05 0.00763 0.03748
C4 0.00882 0.03183 0.00384 0.0617 0.02655 0.03071 0.01336 0.00582 0.02937 0.02493 0.00582 0.04916
C5 0.01086 0.01515 0.02563 0.02116 0.0617 0.04731 0.04103 0.03853 0.03991 0.04159 0.00976 0.03596
Normalised direct-influence matrix S
C6 0.0062 0.00716 0.01235 0.00882 0.04812 0.0617 0.03225 0.02729 0.03853 0.04962 0.02341 0.03748
C7 0.0108 0.00882 0.01682 0.00939 0.04505 0.04505 0.0617 0.02198 0.01752 0.04863 0.01003 0.03377
C8 0.02759 0.00763 0.02341 0.00882 0.04217 0.04429 0.04863 0.0617 0.01 0.0514 0.00523 0.04263
C9 0.00409 0.0027 0.00253 0.04336 0.04553 0.04429 0.0182 0.01786 0.0617 0.04382 0.01235 0.0514
C10 0.02199 0.01619 0.0259 0.01718 0.03128 0.03719 0.03991 0.04631 0.03558 0.0617 0.02284 0.03841
C11 0.00538 0.00939 0.0028 0.01752 0.03305 0.02399 0.01619 0.00792 0.00345 0.04631 0.0617 0.03061
C12 0.01791 0.00206 0.0028 0.03053 0.04505 0.04263 0.02978 0.04263 0.04916 0.05053 0.01871 0.0617
Table 23
C5 0.03996 0.04695 0.05105 0.0499 0.05274 0.0509 0.048 0.05225 0.055 0.04496 0.03992 0.04661 0.57824
C6 0.05095 0.03297 0.04505 0.04691 0.04776 0.04192 0.049 0.04508 0.049 0.04795 0.0489 0.04661 0.5521
C7 0.02997 0.06094 0.02603 0.07784 0.03383 0.03693 0.03 0.02869 0.043 0.03297 0.02994 0.04209 0.47223
C8 0.06693 0.06793 0.07908 0.04291 0.04378 0.04391 0.042 0.05021 0.036 0.04695 0.03693 0.04561 0.60224
C9 0.04595 0.03497 0.03604 0.06088 0.03582 0.0519 0.046 0.04816 0.063 0.05095 0.0499 0.0585 0.58207
C10 0.04196 0.04096 0.04705 0.04092 0.04975 0.0509 0.058 0.04611 0.044 0.04995 0.03792 0.04661 0.55413
C11 0.05794 0.03596 0.05806 0.03792 0.05473 0.05489 0.055 0.05635 0.057 0.04995 0.05289 0.05454 0.62523
C12 0.04296 0.04795 0.04404 0.04491 0.04279 0.04192 0.05 0.04918 0.041 0.04496 0.03992 0.03768 0.52731
Stock portfolio selection using a hybrid fuzzy approach
Di 0.59441 0.54645 0.60261 0.56886 0.54528 0.5599 0.57 0.58709 0.561 0.55945 0.53392 0.56966
445
446 J. Rezaeian and F. Akbari
Ri Di Ri + Di Ri – Di
C1 0.48715 0.59441 1.08156 –0.10726
C2 0.5921 0.54645 1.13855 0.04565
C3 0.60224 0.60261 1.20485 –0.00037
C4 0.63126 0.56886 1.20012 0.0624
C5 0.57824 0.54528 1.12352 0.03296
C6 0.5521 0.5599 1.112 –0.0078
C7 0.55413 0.57 1.12413 –0.01587
C8 0.59457 0.58709 1.18166 0.00748
C9 0.58207 0.561 1.14307 0.02107
C10 0.47223 0.55945 1.03168 –0.08722
C11 0.62523 0.53392 1.15915 0.09131
C12 0.52731 0.56966 1.09697 –0.04235
C2 0.0756 0.0676 0.0814 0.0877 0.0912 0.0980 0.0929 0.0837 0.0926 0.0910 0.0934 0.0905
C3 0.0924 0.0731 0.0880 0.0701 0.0894 0.0927 0.0947 0.1134 0.0730 0.0910 0.0803 0.0887
C4 0.0823 0.0914 0.0863 0.0824 0.0875 0.0855 0.0859 0.0959 0.0944 0.0946 0.1476 0.0835
C5 0.0672 0.0859 0.0847 0.0877 0.0967 0.0909 0.0842 0.089 0.0980 0.0803 0.0747 0.0818
C6 0.0857 0.0603 0.0747 0.0824 0.0875 0.0748 0.0859 0.0767 0.0873 0.0857 0.0915 0.0818
C7 0.0504 0.1115 0.0432 0.1368 0.0620 0.0659 0.0526 0.0488 0.0766 0.0589 0.0560 0.0738
C8 0.1126 0.1243 0.1312 0.0754 0.0802 0.0784 0.0736 0.0852 0.0641 0.0839 0.0691 0.0800
C9 0.0773 0.0639 0.0598 0.1070 0.0656 0.0927 0.0807 0.0823 0.1123 0.0910 0.0934 0.1026
C10 0.0705 0.0749 0.0780 0.0719 0.0912 0.0909 0.1017 0.0785 0.0784 0.0892 0.0710 0.0818
C11 0.0974 0.06581 0.0963 0.0666 0.100 0.0980 0.0964 0.0959 0.101 0.0892 0.0990 0.0957
Stock portfolio selection using a hybrid fuzzy approach
C12 0.0722 0.0877 0.0730 0.0789 0.0784 0.0748 0.0877 0.0837 0.0730 0.0803 0.0747 0.0661
447
448
Table 26
C1 0.1160 0.0932 0.1030 0.0526 0.0693 0.0570 0.0632 0.0663 0.0481 0.0643 0.0486 0.0732 0.0364
J. Rezaeian and F. Akbari
C2 0.0756 0.0676 0.0814 0.0877 0.0912 0.0980 0.0930 0.0838 0.0927 0.0911 0.0935 0.0905 0.0474
C3 0.0924 0.0731 0.0880 0.0702 0.0894 0.0927 0.0947 0.1134 0.0731 0.0911 0.0804 0.0888 0.1275
C4 0.0824 0.0914 0.0864 0.0825 0.0876 0.0856 0.0860 0.0960 0.0945 0.0946 0.1477 0.0836 0.1201
C5 0.0672 0.0859 0.0847 0.0877 0.0967 0.0909 0.0842 0.0890 0.0980 0.0804 0.0748 0.0818 0.0802
C6 0.0857 0.0603 0.0748 0.0825 0.0876 0.0749 0.0860 0.0768 0.0873 0.0857 0.0916 0.0818 0.0729
C7 0.0504 0.1115 0.0432 0.1368 0.0620 0.0660 0.0526 0.0489 0.0766 0.0589 0.0561 0.0739 0.0940
C8 0.1126 0.1243 0.1312 0.0754 0.0803 0.0784 0.0737 0.0855 0.0642 0.0839 0.0692 0.0801 0.0904
C9 0.0773 0.0640 0.0598 0.1070 0.0657 0.0927 0.0807 0.0820 0.1123 0.0911 0.0935 0.1027 0.1078
C10 0.0706 0.0750 0.0781 0.0719 0.0912 0.0909 0.1018 0.0785 0.0784 0.0893 0.0710 0.0818 0.0490
C11 0.0975 0.0658 0.0963 0.0667 0.1004 0.0980 0.0965 0.0960 0.1016 0.0893 0.0991 0.0957 0.1284
C12 0.0723 0.0877 0.0731 0.0789 0.0785 0.0749 0.0877 0.0838 0.0731 0.0804 0.0748 0.0661 0.0458
Table 27
C1 0.0290 0.0180 0.0290 0.0190 0.0274 0.0275 0.0275 0.0282 0.0285 0.0250 0.0265 0.0273 0.0380
C2 0.0225 0.0185 0.0245 0.0250 0.0249 0.0275 0.0265 0.0246 0.0260 0.0255 0.0250 0.0258 0.0360
C3 0.0275 0.0200 0.0265 0.0200 0.0244 0.0260 0.0270 0.0333 0.0205 0.0255 0.0215 0.0253 0.0410
C4 0.0245 0.0250 0.0260 0.0235 0.0239 0.0240 0.0245 0.0282 0.0265 0.0265 0.0394 0.0238 0.0660
C5 0.0200 0.0235 0.0255 0.0250 0.0264 0.0255 0.0240 0.0261 0.0275 0.0225 0.0200 0.0233 0.0570
C6 0.0255 0.0165 0.0225 0.0235 0.0239 0.0210 0.0245 0.0225 0.0245 0.0240 0.0245 0.0233 0.0620
C7 0.0150 0.0305 0.0130 0.0389 0.0169 0.0185 0.0150 0.0143 0.0215 0.0165 0.0150 0.0211 0.0400
C8 0.0335 0.0340 0.0395 0.0215 0.0219 0.0220 0.0210 0.0251 0.0180 0.0235 0.0185 0.0228 0.0510
C9 0.0230 0.0175 0.0180 0.0304 0.0179 0.0260 0.0230 0.0241 0.0315 0.0255 0.0250 0.0293 0.0280
C10 0.0210 0.0205 0.0235 0.0205 0.0249 0.0255 0.0290 0.0231 0.0220 0.0250 0.0190 0.0233 0.0420
Stock portfolio selection using a hybrid fuzzy approach
C11 0.0345 0.0255 0.0310 0.0150 0.0189 0.0160 0.0180 0.0195 0.0135 0.0180 0.0130 0.0208 0.0550
C12 0.0215 0.0240 0.0220 0.0225 0.0214 0.0210 0.0250 0.0246 0.0205 0.0225 0.0200 0.0188 0.0700
449
450
Table 28
A3 0.116 0.116 0.116 0.116 0.116 0.116 0.116 0.116 0.116 0.116 0.116 0.116 0.116 2.000
C1 0.027 0.027 0.027 0.027 0.027 0.027 0.027 0.027 0.027 0.027 0.027 0.027 0.027 0.027
J. Rezaeian and F. Akbari
C2 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025
C3 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025
C4 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025
C5 0.024 0.024 0.024 0.024 0.024 0.024 0.024 0.024 0.024 0.024 0.024 0.024 0.024 0.024
C6 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023
C7 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019
C8 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023 0.023
C9 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025 0.025
C10 0.020 0.020 0.020 0.020 0.020 0.020 0.020 0.020 0.020 0.020 0.020 0.020 0.020 0.020
C11 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019 0.019
C12 0.022 0.022 0.022 0.022 0.022 0.022 0.022 0.022 0.022 0.022 0.022 0.022 0.022 0.022
Stock portfolio selection using a hybrid fuzzy approach 451
6 Discussion
The primary evaluation included investment consultants and financial experts. The limit
weights of 12 criteria are calculated by ANP in Table 28. It shows that decision makers
are concerned with risk, stock return, liquidity, dividend, free float and security factors.
The factor of risk with 0.14506 score has the highest value and is followed by stock
return, liquidity, stock trading, type of industry with 0.02514, 0.02505, 0.02047, 0.01851
scores, respectively.
According to the data of Table 28, the most important alternatives is bank industry
with the highest priority of 0.14506 among the three alternatives and it is most preferable
prior to expectation among three superiors stock Tehran Stock Exchange and the most
important criterion is C1 (risk) with the highest priority of 0.02698.
7 Conclusions
The portfolio selection process is a method for evaluating and ranking the feasible
alternatives using a multi-criteria decision making technique with the help of linguistic
terms which is very useful to take into uncertainty conditions.
It is hard to say for stock market what portfolio is the best. It actually all
complications are based on the differences of goals, the condition of resources and
capabilities. There is no standardised solution to what alternatives is better, but we can
make the portfolio selection more beneficial and worked out in great detail.
This paper proposed a novel combined approach for portfolio selection which utilised
group decision making process and can be applied any kind of stock exchange. The
proposed model was implemented in Tehran Stock Exchange. While it is believed that
the presented model provides value, there are also further points that can be included. The
combined fuzzy ANP and fuzzy DEMATEL approaches used in this study offered a more
precise and accurate analysis by integrating interdependent relationships within and
among a set of criteria.
Performance evaluation has been done in a case study with three alternatives: gold,
bank industry and industrial oils. The results of the applied methodology were shown the
overall satisfaction of decision makers. It is found that the most and less important
criteria for portfolio selection problem are profitability and flexibility respective is, and
bank industries known as suitable alternative.
However, there are some limitations, such as the assessment scales of the fuzzy ANP
and the DEMATEL are not unified. If the study involves large samples, then the
combined methodology might be too complicated. Therefore, in order to promote and
deepen continuing research in future, it is worthwhile to investigate more studies to
uncover invaluable new study issues. Moreover, the assessment scale is required to
improve its user friendliness in the future.
452 J. Rezaeian and F. Akbari
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