文章基本信息

标题：Portfolio optimization using a hybrid of fuzzy ANP, VIKOR and TOPSIS ,
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作者：Reza Raei ; Mohammad Bahrani Jahromi
期刊名称：Management Science Letters
印刷版ISSN：1923-9335
电子版ISSN：1923-9343
出版年度：2012
卷号：2
期号：7
页码：2473-2484
DOI：10.5267/j.msl.2012.07.019
出版社：Growing Science
摘要：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.
关键词：VIKOR; TOPSIS; Asset allocation; Tehran Stock Exchange