Portfolio selection by multi-criteria fuzzy method with tripartite decision approach and cumulative prospect theory

The choice of the stock portfolio is one of the most important and vital decisions of legal investors in Tehran Stock Exchange, which has been one of the most important issues discussed in the past and present, and with the research that has been conducted in this field, there are models for determining the portfolio. It is presented that over time the defects of each one have been identified and another model has replaced it. Based on this, in the present research, the issue of portfolio selection has been investigated using the multi-criteria fuzzy method using the tripartite decision-making approach and cumulative perspective theory. For this purpose, the data of 30 selected companies admitted to the Tehran Stock Exchange during the period 2014 to 2022 have been used. In order to investigate the issue of portfolio selection, the multi-criteria fuzzy method was used using the tripartite decision-making approach and cumulative perspective theory through the creation of superiority relationships. The findings of the research showed that the multi-criteria fuzzy portfolio selection model using the tripartite decision-making approach and cumulative perspective theory has a better performance than the classical two-way decision-making approach and the expected utility theory in stock portfolio selection.