VIKOR METHOD WITH Z-NUMBER APPROACH FOR PORTFOLIO SELECTION DECISION
Zamali Tarmudi1, Shamsatun Nahar Ahmad2*,Siti Afiqah Mohammad3, Ahmad Faiz Ghazali4, Mazlyda Abd Rahman5 and Yaya Sudarya Triana6
College of Computing, Informatics and Mathematics, Universiti Teknologi MARA Johor Branch, Segamat Campus, Jalan Universiti Off km 12, Jalan Muar, 85000 Segamat, Johor, Malaysia.
4School of Computer Science,
College of Computing, Informatics and Mathematics, Universiti Teknologi MARA, 40450 Shah Alam, Selangor, Malaysia.
5School of Computer Science,
College of Computing, Informatics and Mathematics, Universiti Teknologi MARA Johor Branch, Segamat Campus, Jalan Universiti Off km 12, Jalan Muar, 85000 Segamat, Johor, Malaysia.
6System Information Department, Faculty of Computer Science, Universitas Mercu Buana, Jl.Meruya Selatan Kembangan Jakarta Barat 11650, Jakarta, Indonesia.
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ABSTRACT
Investors and decision makers (DMs) have become increasingly interested in portfolio selection in a borderless world in recent years. In real-world market situations, the performance of a great number of portfolios is typically unpredictable due to the presence of uncertainty and unreliable factors in numerous criteria. Therefore, it is essential to increase investor returns and promote an investment strategy through thorough evaluation. This occurrence becomes critical if the DMs employ an unsuitable strategy that fails to handle both aspects in a prudent manner. Due to its importance, this paper implements a VIKOR method with a Z-number approach for selecting the optimal portfolio among the identified alternatives. It is believed that the two components A and B of the Z-number structure, where A is a restriction of the evaluated attribute and B is a degree of certainty of A, deal with uncertainties and reliability issues more effectively. A numerical example from an adopted case study has been provided to demonstrate the effectiveness and viability of the proposed method. The outcome demonstrates that the approach can address the uncertainty of human judgement with greater precision while simultaneously boosting the DMs' confidence throughout the evaluation process. Consequently, the proposed method provides a more dependable and effective method for DMs to make decisions, particularly regarding portfolio selection.
Keywords: Fuzzy VIKOR, Multi Criteria Decision Making (MCDM), Portfolio Selection, Z-Number
Published On: 1 April 2024
