Document Type : Original Research Paper


Department of Industrial Management, Tehran University, Tehran, Iran


In recent years stock exchange has become one of the most attractive and growing businesses in respect of investment and profitability. But applying a scientific approach in this field is really troublesome because of variety and complexity of decision making factors in the field. This paper tries to deliver a new solution for portfolio selection based on multi criteria decision making literature and clustering approach. The paper results reveal that four basic indexes (including: leverage indices, efficiency ratio, liquidity ratio, and market value ratio) besides twenty four secondary indexes were effective in portfolio selection.
Multi attribute decision making method (MADM) and clustering were used as analytical tools. The cases of this study embrace pharmaceutical companies accepted in Tehran Stock Exchange. For clustering companies, they were divided into two clusters and finally the companies which located in optimum cluster were ranked via SD Heuristics method. This method eliminates considerable amount of cases and by doing so it helps the experts to sort and rank the alternatives more effectively. It's recommended by researchers to apply qualitative methods in addition to quantitative ones.