Selection of optimal portfolio in stock market with a hybrid approach of grey relationship analysis (GRA) and linear Linear programming model

Investors are always considering selecting a set of stocks in financial markets، which have more profit and less risk. In classical model of investment، the main issue was distributing capital for stuck buying. There are so many methods were proposed to select stocks and in this paper، for selecting four (4) stocks in different industries، we combined analytical hierarchy process (AHP) and Grey theory. In this، the four industries in the field of machinery and equipment، insurance، pharmaceutical and investment companies was used as the sample. Also samples were selected by judgmental. For weighting the attributes، AHP was applied and then، by Grey theory، and the achieved weights by AHP، the industries were prioritized. This new approach can be useful to investors as a means for selecting a basket of stocks that has the best performance.