Selection of Optimal Portfolio in Tehran Stock Exchange Market Using Inaccurate Data and the Combined DNDEA-FVIKOR-FDANP Approach

  • Ali Asghar Tatlari, Seyed Jafar Sajadi, Roya Soltani


This study was conducted to propose a decision-making method for solving problem of stock selection, using a combination of data envelopment analysis and multi-criteria decision-making approach. In traditional analysis, key financial ratios are selected by comparing or observing trend of changes in financial variables. Decision-making in traditional methods and in face of interconnected criteria and competitive alternatives results in complex decisions. However, most of stock selection criteria are correlated. In fact, investors are often forced to make competitive decisions due to performance outcomes that are contradictory in different ways. Therefore, herein, a method was introduced, which was a combination of data envelopment analysis and multi-criteria decision-making method to retrieve financial information for stock selection. Selecting a desirable and optimal portfolio is an issue that has always been of interest to all investors. Selecting the best bonds or portfolio in terms of profitability is one of the main concerns of investors in the stock exchange market. Investing in the stock market, especially the stock exchange market is of great importance among different types of investment, because this market, as the closest example of a fully competitive market is considered an efficient market and provides a suitable ground for investments. Thus, in the present work, it was attempted to provide a method for optimal selection of stock portfolio for decision-makers and investors. This research was done in two stages. In the first stage, data envelopment analysis technique was used to calculate cost-effectiveness and profits of a petrochemical company during 2015-2019, while in the second stage, companies were classified using multi-criteria decision-making approach.