Optimal portfolio selection using the compromise-programming model in the tehran stock exchange

Optimum portfolio selection using the compromise-programming model in the Tehran stock exchange Abstract Various models in the field of choosing optimal portfolio for investors are presented thus far. Majority of these models complete the process of choosing by providing a set of the available portfolios on the efficient frontier. Moreover, in the best case in the following of the process, by extracting utility function, according to the preferences of investors through interactive dialogues, it determines the optimal portfolio in accordance with the financial situations and mental and behavioral characteristics. In action, this is very difficult due to the differences in the utility functions. These problems distinguish the role of the compromise-programming model and the unique abilities of compromise set as one of the available models in the multi-criteria decision-making in choosing optimal portfolio. In current research, 20 companies are selected from among companies which are active in the tehran exchange market during 2015-2018 period. With studying sum of the absolute difference of safety and profitability indice of optimizing investing utility functions with direct method and comparing it with results of compromise set method, the research hypothesis accepted