A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)

DOI10.1016/j.cam.2021.113678zbMath1469.91047OpenAlexW3170730178MaRDI QIDQ2043186

Serkan Akbaş, Turkan Erbay Dalkilic

Publication date: 29 July 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113678

zbMATH Keywords

fuzzy linear programmingportfolio selectionmulti-criteria decision makingtrapezoidal fuzzy numberfuzzy AHP

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
• Consistent completion of incomplete judgments in decision making using AHP
• A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty
• An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models
• Project selection by constrained fuzzy AHP
• A fuzzy extension of Saaty's priority theory
• A dual approach to solve the fuzzy linear programming problem
• Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS
• Fuzzy portfolio selection using fuzzy analytic hierarchy process
• Multi-objective possibilistic model for portfolio selection with transaction cost
• Fuzzy hierarchical analysis
• Multiple attribute decision making. Methods and applications. A state-of- the-art survey
• Multiple criteria decision analysis in regional planning. Concepts, methods and applications
• Fuzzy programming and linear programming with several objective functions
• The concept of a linguistic variable and its application to approximate reasoning. I
• Applications of the extent analysis method on fuzzy AHP
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
• Robust portfolio decisions for financial institutions
• Stability advances in robust portfolio optimization under parallelepiped uncertainty
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
• Infinite horizon optimal control of forward-backward stochastic differential equations with delay
• Optimal control of stochastic hybrid system with jumps: a numerical approximation
• Robust multiobjective optimization \& applications in portfolio optimization
• Fuzzy stock selection using a new fuzzy ranking and weighting algorithm
• DESCRIPTION AND OPTIMIZATION OF FUZZY SYSTEMS
• Robust optimization in spline regression models for multi-model regulatory networks under polyhedral uncertainty

This page was built for publication: A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)