Progress and Excellence Research

Progress and Excellence Research

Prioritizing The Components Of The Optimal Portfolio Management Approach Using The Network Analysis Process (ANP)

Document Type : Original Article

Authors
1 PhD student in finance-financial engineering, Islamic Azad University, Abhar Branch, Zanjan
2 Assistant Professor, Department of Economics and Finance, Islamic Azad University, Abhar Branch, Zanjan
3 PhD student in finance majoring in financial engineering, Islamic Azad University, Abhar Branch, Zanjan
Abstract
The purpose of this research is to prioritize the components of the optimal portfolio management approach using the network analysis process (ANP). In the first stage, after library studies and taking into account the key factors related to optimal portfolio management, the sub-factors affecting the optimal portfolio were identified and the main criteria were prioritized based on the goal, then the internal relationships between the main criteria were identified, the fuzzy Delphi technique has been used to identify the main indicators. Then, the pattern of causal relationships has been identified with the Dimtel technique. Also, a pairwise comparison of each element in its respective cluster has been done. Finally, the identified criteria and sub-criteria are presented in the form of a network analysis model. ANP analysis technique has been used to achieve the research objective. To analyze the obtained data, the Super Decision network analysis software and Excel coding were used.Each of the criteria in the corresponding cluster has been compared and prioritized. The internal relations are specified below the criteria. Finally, by calculating the limit super matrix, the final priority of the indicators has been determined. The analysis results show that the growth criterion with a normal weight of 0.318 has the highest priority, the market criterion with a normal weight of 0.266 is in the second priority, the risk criterion with a normal weight of 0.218 is in the third priority, and the profitability criterion with a normal weight of 0.198 is in the fourth priority.
Keywords