Integration of Fuzzy MCDM Methods for Portfolio Selection

Mahnaz Babaei, Masoud Maleki, Majid Moradi

Abstract


In industry, managers must select portfolios of projects for funding, in order to advance the corporate goals.  There are generally many more projects than funding can support.  Ideally, managers aim to select an optimal subset of projects to meet the company’s goals while complying with budgetary restrictions. At the same time, they seek to control the overall risk of a portfolio of projects and ensure that cash flow or other such performance objectives are maximized. The purpose of this paper is applying a new integrated method for Portfolio Selection. Proposed approach is based on Fuzzy Prioritization Method and TOPSIS. Fuzzy Prioritization Method is used in determining the weights of the criteria by decision makers and then ranking of Portfolios are determined by TOPSIS method. In this paper a numerical example demonstrates the application of the proposed method.


Full Text:

PDF

References


Abu-Taleb MF, Mareschal B. (1995) Water resources planning in the Middle East: application of the PROMETHEE V multicriteria method. European Journal of Operational Research;81(3):500–11.

Anagnostopoulos KP, Mamanis G. (2010) A portfolio optimization model with three objectives and discrete variables. Computers and Operations Research;37:1285–97.

Brans JP, Mareschal B. (1992) PROMETHEE V: MCDM problems with segmentation constraints. INFOR;30(2):85–96.

Carazo AF, Gomez T, Molina J, Hernandez-Diaz AG, Guerrero FM, Caballero R. (2010) Solving a comprehensive model for multiobjective project portfolio selection. Computers and Operations Research;37(4):630–9.

Corner, J and C. Kirkwood. (1991). Decision analysis applications in the operations research literature 1970-1989. Operations Research, 39(2), 206-219.

Farzipoor Saen, R.(2009). A Mathematical Programming Approach for Strategy Ranking, Asia Pacific Management Review 14(2), 109-120.

Farzipoor Saen, R and M. Azadi. (2009).‘The use of super-efficiency analysis for strategy ranking’, Int. J. Society Systems Science, Vol. 1, No. 3, pp.281–292.

Hastings, S.(1996). A strategy evaluation model for management. Management Decision, 34(1), 25-34.

Higgins AJ, Hajkowicz S, Bui E. (2008) A multi-objective model for environmental investment decision making. Computers and Operations Research;35(1): 253–66.

Hoff A, Andersson H, Christiansen M, Hasle G, Lokketangen A. (2010) Industrial aspects and literature survey: fleet composition and routing. Computers and Operations Research;37(12):2041–61.

Hwang .C.L and K. Yoon,.(1981). Multiple Attributes Decision Making Methods and Applications, spring, New York.

Kaufmann, A., and Gupta, M. M. (1988). Fuzzy mathematical models in engineering and management science. Amsterdam: North-Holland.

Karsak, E. E. (2002). Distance-based fuzzy MCDM approach for evaluating flexible manufacturing system alternatives. International Journal of Production Research 40(13), 3167–3181.

Markowitz, M.H. (1952) “Portfolio selection,” Journal of Finance, vol. 7, pp.77-91.

Nikolic D, Jovanovic I, Mihajlovic I, Zivkovic Z. (2009) Multi-criteria ranking of copper concentrates according to their quality—an element of environmental management in the vicinity of copper-smelting complex in Bor, Serbia. Journal of Environmental Management;91:509–15.

Opricovic. S and Tzeng. G.H. (2003). Compromise solution by MCDM methods: a comparative analysis of VIKOR and TOPSIS, European Journal of Operational Research 156 (2) ,pp. 445–455.

Stummer C, Vetschera R. (2003) Decentralized planning for multiobjective resource allocation and project selection. Central European Journal of Operations Research;11(3):253–79.

Wang, L., Chu, J., Wu, J. (2006). Selection of optimum maintenance strategies based on a fuzzy analytic hierarchy process, Int. J. Production Economics 107, 151–163.

Weigelt, K and I. Macmillan. (1988). ‘An interactive strategic analysis framework’, Strategic Management Journal, Vol. 9, No. S1, pp.27–40.

Wind, Y and T. Saaty.(1980). Marketing applications of the analytic Hierarchy Process. Management Science, 26(7), 641-658.

Wind, Y.(1987). An analytic hierarchy process based approach to the design and evaluation of a marketing driven business and corporate strategy. Mathematical Modeling, 9(3-5), 285- 291.

Xidonas P, Mavrotas G, Psarras J. (2009) A multicriteria methodology for equity selection using financial analysis. Computers and Operations Research;36(12):3187–203.

Zadeh, L. A. (1975). The concept of a linguistic variable and its application to approximate reasoning-I. Information Sciences, 8(3), 199–249.

Zadeh, L. A. (1965). Fuzzy sets. Information and Control, 8(3), 338–353.

Zopounidis C. (1999) Multicriteria decision aid in financial management. European Journal of Operational Research; 119(2):404–15.

Zopounidis C, Doumpos M. (2002) Multi-criteria decision aid in financial decision making: methodologies and literature review. Journal of Multi-Criteria Decision Analysis;11(4-5):167–86.


Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

Copyright ©2013 Academic Journals Center

To make sure that you can receive messages from us, please add the 'academicjournalscenter.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.