An integrated approach for stock evaluation and portfolio optimization

作     者：Kiris, Safak Ustun, Ozden 

作者机构：Dumlupinar Univ Dept Ind Engn Kutahya Turkey 

出 版 物：《OPTIMIZATION》 (最优化)

年 卷 期：2012年第61卷第4期

页      面：423-441页

核心收录：

学科分类：12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学] 

主　　题：fuzzy MCDM fuzzy AHP multi-objective programming portfolio optimization reservation level driven Tchebycheff procedure 

摘      要：Portfolio selection problems consist of two phases: stock evaluation and portfolio optimization. This article presents an integrated approach to solve these sub-problems. Stock evaluation problem includes vague parameters, and fuzzy set is a useful tool to cope with uncertainty caused by both the financial markets and the behaviour of the investors decisions. In the first phase, a fuzzy multi-criteria decision-making approach is proposed to evaluate 30 stocks taken from ISE30. Then, a multi-objective portfolio optimization model is presented in the second phase. Markowitz s mean-variance model is combined with the objective of the expected performance value of portfolio and cardinality constraints. This multi-objective real-life problem was solved by using the reservation level driven Tchebycheff procedure. Finally, the most preferred non-dominated solutions were determined by considering investors preferences.