A portfolio selection using fuzzy analytic hierarchy process: A case study of Iranian pharmaceutical industry

Article history: Received 31 January 2010 Received in revised form 28 March 2010 Accepted 1 May 2010 Available online 7 May 2010 Portfolio selection is one of the important problems encountered by any investor. The purpose of this paper is to solve a real stock portfolio selection problem in Iran. According to the uncertain environments in which financial decisions are made, most of the recent works in this field use fuzzy sets theory in order to incorporate these uncertainties into their analysis. The problem is to determine how to allocate a limited fund among the stocks of some pharmaceutical companies in Tehran stock exchange. For this purpose we apply two fuzzy analytic hierarchy process (FAHP) methods to this problem. Finally, the results obtained from the two methods are compared in terms of the solution quality. © 2011 Growing Science Ltd. All rights reserved.

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