A Mixed Method based on MADM and Genetic Algorithm for Selecting Optimum Portfolio of Stocks

The major purpose of the current survey was to select the optimum portfolio using a mixed method of MADM and genetic algorithm. Using operations research methods such as analytical hierarchy process, TOPSIS VIKOR and SAW for ranking the companies listed in Tehran Stock Exchange and finally by depicting the efficient border of ten superior companies by means of genetic algorithm and sharp standard it was tried in this survey to compare the methods. This research can be defined at two levels. At one level the investment experts and decision-makers are employed in order to determine the criterions for portfolio selection and importance of each one in so doing. Sixteen experts and decision-makers were considered here. They were directing managers or investment managers of the investment companies. The second level contained seven industries (such as the automobile industry, pharmaceutics, real estate, cement, chemicals, parent metals and metal ores) which include one-hundred fifty three companies. Having omitted the companies with less than twenty five transactional months, one-hundred forty three companies were listed in Tehran Stock Exchange. The obtained results reveal efficiency of SAW-based method and the obtained efficient border is higher than other models in order to select the optimum portfolio.