Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence
From MaRDI portal
Publication:1681292
DOI10.1016/j.ejor.2017.08.001zbMath1376.91154OpenAlexW2742565549MaRDI QIDQ1681292
Eero Pätäri, Ville Karell, Pasi Luukka, Julian Scott Yeomans
Publication date: 23 November 2017
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.08.001
Related Items
Transparent structured products for retail investors, A fuzzy approach to decision‐making in sea‐cage aquaculture production, Multicriteria security evaluation: does it cost to be traditional?, An uncertain possibility-probability information fusion method under interval type-2 fuzzy environment and its application in stock selection, Extending the Fama and French model with a long term memory factor
Uses Software
Cites Work
- Minmax robustness for multi-objective optimization problems
- Multiple criteria decision aiding for finance: an updated bibliographic survey
- Hesitant analytic hierarchy process
- Returns to scale and most productive scale size in DEA with negative data
- Additive super-efficiency in integer-valued data envelopment analysis
- IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection
- Portfolio symmetry and momentum
- A multicriteria methodology for equity selection using financial analysis
- A revised framework for deriving preference values from pairwise comparison matrices
- Decision making in stock trading: an application of PROMETHEE
- Multi-objective stochastic programming for portfolio selection
- Data envelopment analysis (DEA) -- thirty years on
- A new method for solving interval and fuzzy equations: linear case
- Multi-criteria decision making approaches for supplier evaluation and selection: a literature review
- A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
- Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions
- Multiple attribute decision making. Methods and applications. A state-of- the-art survey
- A scaling method for priorities in hierarchical structures
- Multiple criteria linear programming model for portfolio selection
- A trade-level DEA model to evaluate relative performance of investment fund managers
- A modified TOPSIS with a different ranking index
- Robust multiobjective portfolio optimization: A minimax regret approach
- Enhancement of equity portfolio performance using data envelopment analysis
- A cosine maximization method for the priority vector derivation in AHP
- 60 years of portfolio optimization: practical challenges and current trends
- Robust portfolios that do not tilt factor exposure
- Robust multiobjective optimization \& applications in portfolio optimization
- Twenty years of linear programming based portfolio optimization
- Financial portfolio management through the goal programming model: current state-of-the-art
- Fuzzy stock selection using a new fuzzy ranking and weighting algorithm
- An integrated approach for stock evaluation and portfolio optimization
- Using DEA as a tool for MCDM: some remarks
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Investing in Disappearing Anomalies
- Relationships between Data Envelopment Analysis and Multicriteria Decision Analysis
- A Test of the Efficiency of a Given Portfolio
- Formulating a novel stock selection model using DEA and grey situation decision model
- Common risk factors in the returns on stocks and bonds
- Selecting Internet company stocks using a combined DEA and AHP approach
- A slacks-based measure of efficiency in data envelopment analysis
- A Portfolio Selection Methodology Based on Data Envelopment Analysis
