Portfolio optimization using a hybrid of fuzzy ANP, VIKOR and TOPSIS

• Main Authors: Reza Raei, Mohammad Bahrani Jahromi
• Format: Article
• Language: English
• Published: Growing Science 2012-10-01
• Series: Management Science Letters
• Subjects: VIKOR; TOPSIS; Asset allocation; Tehran Stock Exchange
• Online Access: http://www.growingscience.com/msl/Vol2/msl_2012_186.pdf

One of the primary questions in asset management is to find good combinations of different assets and this has been an interesting area of research for over half a century. The proposed model of this paper uses decision makers' feedbacks based on multiple criteria decision making technique to find an appropriate portfolio. We first select some important financial criteria and then using decision makers' opinions and by implementation of some fuzzy network analysis we find appropriate weights of the asset. The proposed model uses two multiple criteria techniques namely TOPSIS and VIKOR and the model is examined for some real-world data from Tehran Stock Exchange. The results of the implementation of the proposed model have been examined against Markowitz traditional model. The preliminary results indicate that the proposed model of this paper performs reasonably well compared with alternative method.