A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem

Nowadays, the main concerns of investors are choosing best portfolio in a way that highest possible return investment can be achieved by accepting least risk. In this regard, classical Markowitz model is one most widely used models which helps get closer to their goals. On other hand, data envelopment analysis (DEA) also practical technique analyze efficiency enterprises. However, real problems, we have faced with several uncertainty issues and intuitionistic fuzzy set (IFS) tools handle these phenomena. Therefore, paper, combine all returns numbers, propose new combined cross DEA models. Furthermore, assets, obtains companies at same time, fully covers constraints model. To show practicality model, studied case study based on information 50 active enterprises Tehran Stock Exchange solved proposed using Non-Dominated Sorting Genetic Algorithm II (NSGA-II). The obtained results as well comparisons made existing approaches effectiveness