Background: This research has been done in the field of portfolio optimal selection by presenting a three-objective mathematical model of expected returns, social responsibility maximization, and risk minimization.
Aim: Nowadays, the capital market is considered an important source of financing for companies and if a suitable model for portfolio selection by considering different preferences of investors is designed, the existing capital can be directed to this market and support domestic products. This study develops the Markowitz model to consider the non-financial preferences of investors in addition to financial indicators. Methodology: This study is developmental and applied research in terms of purpose and has been conducted for the practical use of investors in the stock market. The statistical population of the study includes all manufacturing companies listed on the Tehran Stock Exchange and the statistical sample includes 134 active manufacturing companies during the six years of 2014-2019. The required data were collected by referring to the library and the website of the Stock Exchange Organization and the fuzzy Delphi questionnaire. finally, a multi-objective optimization model was proposed to combine financial and non-financial factors.
Results: Single-objective and multi-objective models (LP-Metric) with different powers were implemented in GAMS software. Examining the performance of these models using the Sharpe ratio showed that the single-objective models of maximizing returns and minimizing risk have the highest performance and the single-objective model of maximizing social responsibility have the lowest performance, respectively. The proposed model also meets at least 74.5 percent of the triple and contradictory goals according to the Sharpe ratio.
Conclusion: While the proposed model optimizes the three objective functions simultaneously and establishing a trade-off between these conflicting goals, has obtained a good Sharpe score compared to o