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

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.

UTA-Star method;Multiple criteria decision aiding (MCDA); Utility functions; Stock selection.