Comparative Evaluation of the Performance of Selected Portfolios Based on AHP and TOPSIS Multi-Criteria Decision-Making Techniques with Markowitz Mean-Variance Mode

In this research, using Analytic Hierarchy Process (AHP) and TOPSIS method (TOP) based on financial criteria, earnings per share, dividend per share, operating cash flow growth, earnings per share growth, beta (systematic) risk, volatility Operating profit, stock liquidity and price-to-earnings ratio selected according to the opinions of investment experts, formed a portfolio. Then, the criteria for evaluating the performance of risk-adjusted portfolios according to modern portfolio theory (Sharp, Trainer and Alpha Jensen) were calculated based on monthly stock prices during the 5-year period from 2015 to 2019 and compared with the criteria for evaluating portfolio performance according to Markowitz model. The results showed that the selection of stock portfolio using the mentioned financial criteria and using the Analytic Hierarchy Process (AHP) model leads to the acquisition of adjusted returns with more risk than the Markowitz optimization model and the TOPSIS model.