A two-step approach to stock portfolio selec‎tion an‎d optimization using multi-criteria decision-making techniques under uncertainty

2/7/2027 12:00:00 AM

Abstract: Financial markets, due to their volatility an‎d uncertainty, always present challenges in making decisions regarding the selec‎tion an‎d management of investment portfolios. The aim of this research is to present a two-stage approach to forming an‎d optimizing a stock portfolio in order to reduce risk an‎d generate appropriate returns for the investor. In the first stage, the stocks of NASDAQ index companies were ranked based on six financial criteria using the BWM weighting method an‎d multi-criteria decision-making techniques, an‎d the top stocks were selec‎ted from them to enter the next stage. In the second stage, portfolio optimization was performed based on the variance risk measure in two states of certainty an‎d uncertainty, an‎d a fuzzy approach was used to model ambiguous conditions. The results of the research showed that the proposed model was able to form a portfolio with a weekly return of 6.7 percent, which reaches 14.25 percent for monthly return. This is while the Nasdaq index has experienced only 0.36 percent weekly growth an‎d about 5 percent monthly growth in the same period. Therefore, the model presented in this research has a more favorable performance than the overall index an‎d other comparative cases an‎d can be used as a scientific an‎d practical framework for investors in real market conditions.

بهينه‌سازي سبد سهام , تشكيل سبد سهام , تصميم‌گيري با معيارهاي چندگانه , منطق فازي , مدل ميانگين واريانس , عدم‌قطعيت

Portfolio optimization , Portfolio formation , Decision making with multiple criteria , Fuzzy logic , Mean variance model , Uncertainty

Negin Bozorgkhoo

Dr.Rouzbeh Ghousi