عنوان مقاله [English]
Portfolio optimization is one of the most important and attractive financial and investment issues. The portfolio optimization determines the corporations and the amount of shares that a fundamental investor can purchases in a way that use its investment benefits and avoid its risks. In mathematical terms, Markowitz model, is the most fundamental and important model of portfolio optimization. Despite the importance of this model, it can be criticized due to the reliance on historical return, which does not necessarily reflect the actual situationThis study can be classified as a serious research that does not put the historical returns of the companies as the base of the optimize decisions. The study uses data envelopment analysis (DEA) and multi-criteria decision-making (MADM) methods to solve the optimization problem. In the first step by inserting the appropriate financial ratios as input and output in data envelopment analysis and then by using optimal weights calculate the performance of each unit's cross. Then a cross efficiency matrix interpreted as a decision matrix can consider the companies as an option and evaluate with multiple criteria. On this basis and based on the interpretation of the crossover delivers performance Maximax, Maximin and Harvikz decision-making, are presented as appropriate method of problem solving. At the end the performance of each proposed portfolios are checked with two related indices. The results demonstrate the success of the proposed portfolio based on MaxMax and some of the proposed portfolio based on Hurwicz approach than benchmark portfolio.
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