A Combination of FSAW and DOE Method with an Application to Tehran Stock Exchange
Subject Areas : Multi-Criteria Decision Analysis and its Application in Financial ManagementSalameh Barbat 1 , Mahnaz Barkhordariahmadi 2 , Vahid Momenaei Kermani 3
1 - Department of Mathematics, Kerman Branch, Islamic Azad University, Kerman, Iran
2 - Department of Mathematics, Bandar Abbas Branch Branch,Islamic Azad University, Bandar Abbas, Iran
3 - Department of Mathematics, Kerman Branch, Islamic Azad University, Kerman, Iran
Keywords:
Abstract :
[1] Donyaei, M., Investigating the role of OTC market in the development of Iran's capital market. Master Thesis. Faculty of Management and Accounting, Sistan and Baluchestan University, 2010, Doi:10.22067.
[2] Khalili Iraqi, M., Multi-criteria group capital budgeting, Economic Research Journal, 2008, (27), P.99-118, Available: https://www.sid.ir/en/journal/ViewPaper.aspxid=117791.
[3] Keshvari, A., Alirezaee, M. R., Ranking Efficient Units by Weakened References in Data Envelopment Analysis, International Journal of Industrial Engineering, 2008, http://ijiepm.iust.ac.ir/article-1-278-en.html.
[4] Gholizadeh, M. H., Designing a Ranking Model for Companies Listed on the Tehran Stock Exchange Using Data Envelopment Analysis (on the Food and Beverage Industry),Ph.D. Thesis, Faculty of Management, University of Tehran, 2004.
[5] Pourzandi, M. E., and Mansouri, H.A., The role of financial reporting in the capital market, Accountants, 2000, 138, P.23-30.
[6] Kadkhodai, H., A comparative study of the regulations governing the Iranian capital market and presenting suggestions for eliminating its shortcomings, PhD thesis. Faculty of Management, University of Tehran,1995.
[7] Anvari Rostami, A. A., Khotanlou, M., A Comparative Study of Top Companies Ranking Based on Profitability Ratios and Tehran Stock Exchange Indices, Accounting and Auditing Reviews, 2006, 43, P.25-43.
[8] Office of Economic Studies and Examination of Tehran Stock Exchange, A framework for measuring fifty more active companies of Tehran Stock Exchange,1998.
[9] Office of Economic Studies and Examination of Tehran Stock Exchange Organization, Indexing in Stock Exchange: Concepts and Methods, Tehran,1997.
[10] Potter, R. E, An empirical study of motivations of common stock investors, Southern Journal of Business, 1971, 6, P.41–48.
[11] Baker,H .K, Haslem; J. A, the impact of investor socioeconomic characteristics on risk and return preferences, Journal of Business Research,1974, 2, P.469-476.
[12] Onil,W. J. , How to make money in stocks, New York: McGrow-Hill,1991.
[13] Wong, F.S, and et.al., Fuzzy Neural Systems for Stock Selection, Financial Analysis Journal , 1992 , 52, P.48, 47-Doi: 10.2469/faj.v48.n1.47.
[14] Chen, A.g, What drives stock price movement, the Eli Broad College of business, Michigan state university, 2007.
[15] Wen-Shiung, L. and et.al.,Combined MCDM techniques for exploring stock selection based on Gordon model ,Expert Systems with Applications,2009, Doi:10.1016/j.eswa.2008.07.084.
[16] Akbarpour Shirazi, A., The use of multi-criteria decision models in the selection of shares of pharmaceutical companies in the Tehran Stock Exchange, Quarterly Journal of the Stock Exchange, 2009, 5, P.5 -38.
[17] Zadeh, L.A., Fuzzy sets, Information and Control , 1965,8, P.338-353, Doi: 10.1016/S0019-9958(65)90241-X.
[18] Chen, S.J. Hwang, C.L., Fuzzy Multiple Attribute Decision Making: Methods and Applications, Springer Verlag, Berlin, 1992, Doi: 10.1007/978-3-642-46768-4_5.
[19] Figueira, J., Greco, S., Ehrgott, M., Multiple Criteria Decision analysis: State of the Art Surveys, Springer, New York, 2005,Doi: 10.1007/b100605.
[20] Kahraman, C., Fuzzy Multi-Criteria Decision Making: Theory and Application with RecentDeveloppment, Springer, US, 2008, Doi: 10.1007/978-0-387-76813-7.
[21] Churchman, C.W., Ackoff, R.L., An approximate measure of value, Journal of the Operations Research Society of America, 1954, 2, P.172-187, Doi: 10.1287/opre.2.2.172.
[22] Deni, W., Sudana, O., Sasmita, A., Analysis and Implementation Fuzzy Multi-Attribute Decision Making SAW Method for Selection of High Achieving Students in Faculty Level, International Journal of Computer Science, 2003,10, P.674-680, Doi: 10.15294/sji.v3i2.7908.
[23] Sagar, M.K., Jayaswal, P., Kushwah, K., Exploring Fuzzy SAW Method for Maintenance Strategy Selection Problem of Material Handling Equipment, International Journal of Current Engineering and Technology, 2003, 3, P.600-605.
[24] Abdullah, L., Jamal, N.J., Determination of Weights for Health-Related Quality of Life Indicators among Kidney Patients: A Fuzzy Decision-Making Method, Applied Research in Quality of Life, 2010, 6, P.349-361, Doi:10.1007/s11482-010-9133-3.
[25] Rajaie, H., Hazrati, A., Rashidi, A., Evaluation of construction contractors in developing countries using fuzzy SAW method, In: W. Tizani (Eds.), Proc. 13th Int. Conf. Computing Civil and Building Engineering, 2010, P.283-294, Doi:10.3390/su11154010.
[26] Chen, C.T., Extensions of the TOPSIS for group decision-making under fuzzy environment, Fuzzy Sets and Systems, 2000 ,114, P.1-9, Doi: 10.1016/S0165-0114(97)00377-1.
[27] Lourenzutti, R., Krohling, R. A generalized TOPSIS method for group decision making with heterogeneous information in a dynamic environment, Information Sciences, 2016, 330, P. 1-18, Doi: 10.1016/j.ins.2015.10.005.
[28] Wang, Y.J., A fuzzy multi-criteria decision-making model by associating technique for order preference by similarity to ideal solution with relative preference relation, Information Sciences, 2014 , 268, P.169-184, Doi: 10.1016/j.ins.2014.01.029.
[29] Behzadian, M., Otaghsara, S.K., Yazdani, M., Ignatius, J., A state-of the art survey of TOPSIS applications, Expert Systems with Applications,2012, 39(17), P.13051-13069. Doi: 10.1016/j.eswa.2012.05.056.
[30] Zavadskas, E.K., Mardani, A., Turskis, Z., Jusoh, A., Nor, K.MD., Development of TOPSIS Method to Solve Complicated Decision-Making Problems: An Overview on Developments from 2000 to 2015, International Journal of Information Technology & Decision Making, 2013, 15(3), P.645-682, Doi: 10.1142/S0219622016300019.
[31] Arabzad, S.M., Ghorbani, M., Razmi, J., Shirouyehzad, H., Employing fuzzy TOPSIS and SWOT for supplier selection and order allocation problem, International Journal of Advanced Manufacturing Technology , 2015, 76, P.803-818, Doi: 10.1007/s00170-014-6288-3.
[32] Chen, Y.J., Structured methodology for supplier selection and evaluation in a supply chain, Information Sciences, 2011, 181, P.1651-1670, Doi: 10.1016/j.ins.2010.07.026.
[33] Beskese, A., Demir, H.H., Ozcan, H.K., Okten, H.E., Landfill site selection using fuzzy AHP and fuzzy TOPSIS: a case study for Istanbul, Environmental Earth Sciences, 2015, 73(3), P.513-3521.
[34] Mahdevari, S., Shahriar, K., Esfahanipour, A., Human health and safety risks management in underground coal mines using fuzzy TOPSIS, Science of the Total Environment, 2014, 488-489, P.85-99.
[35] Pei, Z., A note on the TOPSIS method in MADM problems with linguistic evaluations, Applied Soft Computing, 2015, 36, P. 24-35.
[36] Brzostowski, J., Roszkowska, E., Wachowicz, T., Supporting Ill-Structured Negotiation Problems, In: W. Pedrycz, P. Guo (Eds.), Human-Centric Decision-Making Models for Social Sciences, London, Springer, 2014, P.339-367, Doi:10.1007/978-3-642-39307-5-14.
[37] Wachowicz, T., laszczyk, P. B., TOPSIS based approach to scoring negotiating offers in negotiation support systems, Group Decision and Negotiation, 2013, 22, P.1021-1050, Doi: 10.1007/s10726-012-9299-1.
[38] Roszkowska, E., Wachowicz, T., Application of fuzzy TOPSIS to scoring the negotiation offers in ill-structured negotiation problems, European Journal of Operational Research, 2015, 242, P. 920-932, Doi: 10.1016/j.ejor.2014.10.050.
[39] Antony, J., Capon, N. Teaching experimental design techniques to industrial engineers, International journal of engineering education, 1998, 14, P.335-343.
[40] Jerry,W.R, Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM, Expert Systems with Applications, 2011, 38, P.16-25, Doi:10.1016/j.eswa.2010.05.058.
[41] Hwang, C.L., Yoon, K., Multiple Attribute Decision Making: Methods and Applications, Springer-Verlag, Berlin, 1981, Doi: 10.1007/978-3-642-48318-9_3.
[42] Cebi, S., Kahraman, C., Developing a group decision support system based on fuzzy information axiom, Knowledge-Based Systems 23, 2010, P. 3-16, Doi:10.1016/j.knosys.2009.07.005.
[43] Wang, L., Chu, J., Wu, J., Selection of Optimum Maintenance Strategies Sased on a Fuzzy Analytic Hierarchy Process, Int. J. Production Economics, 2007, P.107, Doi:10.1016/j.ijpe.2006.08.005.
[44] Montgomery, D.C., Design and analysis of experiments. John wiley & sons, 2017.
[45] Khuri, A.I. and Mukhopadhyay, S., Response surface methodology,Wiley Interdisciplinary Reviews: Computational Statistics, 2010, 2(2), P.128-149, Doi: 10.1002/wics.73.
[46] Box, G.E. and Wilson, K.B., On the experimental attainment of optimum conditions, In Breakthroughs in statistics , Springer, New York, NY, 1992, P. 270-310, Doi:10.1007/978-1-4612-4380-9_23.
[47] Baş, D. and Boyacı, I.H., Modeling and optimization I: Usability of response surface methodology, Journal of food engineering, 2007, 78(3), P.836-845, Doi: 10.1016/j.jfoodeng.2005.11.024.
[48] Ramezani, M., imiagari, A., Karimi, B., Hejazi, T. H., Closed-loop supply chain network design under a fuzzy environment. Knowledge-Based Systems, 2014, Doi:10.1016/j.knosys.2014.01.016.
[49] Hatami-Marbini, A.Kangi, F., An extension of fuzzy TOPSIS for a group decision making with an application to tehran stock exchange, Appl. Soft Comput. J., 2017, Doi: 10.1016.j.asoc.2016.09.021.
[50] Amin. G. R, Hajjami, M. , Improving DEA cross-efficiency optimization in portfolio selection, Expert Syst. Appl., 2021, Doi: 10.22051/jfm.2017.12040.1155.
51] Chen. W., Li,S. S., Zhang, J., Mehlawat, M. K., A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model, Soft Comput., 2020, Doi:10.1007.s00500-018-3595-x.
[52] Ma. J, Harstvedt, J. D., Jaradat; R.,Smith; B., Sustainability driven multi-criteria project portfolio selection under uncertain decision-making environment, Comput. Ind. Eng., 2020, Doi: 10.1016/j.cie.2019.106236.
[53] Chang, T. S., Tone, K., and Wu; C. H., Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation, Eur. J. Oper. Res., 2021.
Doi: 10.1016/j.ejor.2020.09.044.
[54] Frej. E. A., Ekel, P., and de Almeida A. T., A benefit-to-cost ratio based approach for portfolio selection under multiple criteria with incomplete preference information, Inf. Sci. (Ny), 2021.
[55] Peykani. P., Mohammadi, E., Pishvaee, M. S., Rostamy-Malkhalifeh, M., Jabbarzadeh, A., A novel fuzzy data envelopment analysis based on robust possibilistic programming: Possibility, necessity and credibility-based approaches, RAIRO - Oper. Res., 2018, Doi:10.1051/ro/2018019.
[56] Peykani, P., Mohammadi, E., Rostamy-Malkhalifeh, M. and Lotfi, F., Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange, Advances in mathematical finance & applications, 2019, 4(1), P.31-43. Doi:10.22034/amfa.2019.581412.1155.
[57] Peykani, P., Mohammadi, E., Sadjadi,S. J., Malkhalifeh, M. R., A Robust Variant of Radial Measure for Performance Assessment of Stock, The third international conference on Intelligent Decision, 2018.
[58] Hwang, C. L., and Yoon, K., Multiple Attribute Decision Making: Methods and Applications, Springer, Berlin, Germany, 1981, P. 186, 259 Doi:10.1007/978-3-642-48318-9.
[59]Chou, Sh. Y., Chang; Y., and Shen, Ch. Y., A fuzzy simple additive weighting system under group decision-making for facility location selection with objective/subjective attributes, European Journal of Operational Research, 2008,Volume 189, Issue 1, 20,08, Doi:10.1016/j.ejor.2007.05.006.
[60] Rahmani, M., Khalili Eraqi, M., Nikoomaram, H., Portfolio Optimization by Means of Meta Heuristic Algorithms, Advances in Mathematical Finance and Applications, 2019, 4(4), P.83-97. Doi: 10.22034/amfa.2019.579510.1144.
[61] Jamei, R., Investigating the Mathematical Models (TOPSIS, SAW) to Prioritize the Investments in the Accepted Pharmaceutical, Advances in Mathematical Finance and Applications, 2020, 5(2), P.215-227. Doi: 10.22034/amfa.2020.1880616.1312.
[62] Zanjirdar, M., Overview of Portfolio Optimization Models, Advances in Mathematical Finance and Applications, 2020, 5(4), P.419-435. Doi: 10.22034/amfa.2020.674941.
[63] Pazhouhandeh, A.A., Marjani, M.R., Habibi, M, An innovative hybrid fuzzy TOPSIS based on Design of Experiments for multi criteria supplier evaluation and selection,International Journal of Operational Research, 2021,1, 1, Doi:10.1504/ijor.2021.10028948.