Combination of DEA and ANP-QUALIFLEX Methods to determine the most Efficient Portfolio (Case study: Tehran Stock Exchange)
Journal Title: International Journal of Finance and Managerial Accounting - Year 2018, Vol 3, Issue 9
Abstract
The existence of an active and prosperous capital market is always recognized as one of the signs of international development in the countries. The most important issue faced by investors in these markets is the decision to choose the appropriate securities for investment and formation of optimal portfolio. The rating of companies accepted in stock exchange is a complete mirror of their status and is a measure of investment. This will increase the competitiveness, development and market efficiency. In this research, the top 20 companies listed in Tehran Stock Exchange during the third quarter of 2015 are ranked according to financial ratios. In previous studies, optimal portfolio has been determined using data envelopment analysis models and multi-criteria decision making techniques, but the present study combines these two techniques to evaluate and determine the most efficient portfolio. Accordingly, the performance scores of each model are obtained using one of the data envelopment analysis model and then, the weight of each index is obtained using the network analysis process through multi-criteria decision-making techniques.
Authors and Affiliations
Alireza Alinezhad
Keywords
Related Articles
- EP ID EP535036
- DOI -
- Views 73
- Downloads 0
Using the Theory of Network in Finance
It is very important for managers, investors and financial policy-makers to detect and analyze factors affecting financial markets to obtain optimal decision and reduce risks. The importance of market analysis and attemp...
Is the 52-high-price Strategy Explained by Behavioral Finance? (Uncertainty Effect)
The aim of this study is to investigate a behavioral approach by anchoring bias as a criterion to explain 52-week-high strategy and trough this we can find an explain for momentum strategy at uncertainty situation, to th...
The Relationship between Earning Management and Capital Structure
This paper analyzes the relationship between capital structure and earning management. For analysing we used 119 non-financial companies that listed in Tehran Stock Exchange from 2000 to 2008. The researchers will focus...
Investigating the Risk of Paying Loans to Public and Private Companies Using the Logit Model and Comparing it with Altman Z (Case Study: A Private Bank in Iran)
The design of a credit risk measurement model in the monetary and banking system will play an important role in increasing the profitability of banking resources. This article attempts to use two models of Logit and Z Al...
Comparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market
The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which...