A MCDM-based Approach Using UTA-STAR Method to Discover Behavioral Aspects in Stock Selection Problem
Publish place: International Journal of Industrial Engineering & Production Research، Vol: 30، Issue: 1
Publish Year: 1398
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJIEPR-30-1_006
تاریخ نمایه سازی: 3 اسفند 1398
Abstract:
Financial decision-making is a principal part of any decisions; hence, great efforts are made to improve the methods to assess and analyze the stocks in financial markets as an important part of the financial decisions. This paper addresses the stock selection by discovering the investor s utility function. Investors in the Stock Exchange considerdiverse criteria to buy securities and bonds. Due to the criteria development in stock selection, understanding the investor s behavior by a consultant is a prominent issue. Recognizing an exclusive utility function, according to the characteristics of the investors, facilitates acquiring each share s value for the decision-maker (DM). In this study,UTASTAR method is used to estimate the marginal value function by using 3 appropriate criteria (risk, return, and liquidity) and, finally, fit the total utility function. It provides an opportunity to make a rational decision adjustable to the investor s mentality that considers their ranking, prioritization, selection, or classification. The ranking of theoptions is as compatible as possible to the original one. The method is applied to an example from Iran Stock Exchange.
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Authors
Zahra touni
Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
ahmad makui
Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
emran Mohammadi
Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran