چكيده به لاتين
Today, deciding whether to choose the right securities to invest in and the optimal portfolio formation is one of the main issues facing capital markets investors. In portfolio optimization, the key issue is the optimal selection of assets and securities with a certain amount of capital and controlled risk that has the highest return rate for investors. The selection of stock and optimal portfolio formation depends on several factors. Much research has been done in determining stock selection criteria and the use of modern models. However, a few models have incorporated both fundamental and technical approaches as well as financial, non-financial, and behavioral constraints of investor on optimized portfolio formation. The use of newer and more accurate models can increase the return on investment and lead to optimal allocation of capital. The purpose of this research is to present an integrated model for selecting and allocating stocks to the optimal portfolio in the presence of multiple criteria (financial ratios), constraints, and assumptions of the investor, as well as applying the portfolio diversification principle. In this regard, a model combining the Best-Worst Method (BWM) and The Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) is proposed to determine relative weights (degree of importance) of financial ratios and score and rank 20 candidate companies out of the top 50 active companies of stock exchange in the third quarter of 2019. Then, a linear mathematical model is designed and solved for optimal allocation of stock to a real investor portfolio. The main objective of this model is maximizing the performance of selected firms in the portfolio under different constraints such as systematic risk, investor budget, expected return of investor, and diversification of securities in portfolio. This study is a descriptive-survey and also a case study research. The statistical sample is 20 companies from 50 top stock companies (randomly selected) and 7 experts and managers of Sahm Ashna, an Investment Consulting Company, (selected by purposeful judgmental approach). The findings of this study indicated the high weight of criteria such as "net profit margin", "instant ratio", and "current capital turnover". Moreover, In comparison with other companies, IT services company got the highest performace score in overall financial ratios. In addition, the results of linear programming model showed that the selection of four companies such as “Tehran oil refineries”, “information services”, Noori petrochemicals”, and “Jam petrochemicals” caused the maximization of portfolio performance score and investor expected return with acceptable risk level.
