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- W2047597617 abstract "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." @default.
- W2047597617 created "2016-06-24" @default.
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- W2047597617 date "2012-04-01" @default.
- W2047597617 modified "2023-09-26" @default.
- W2047597617 title "An integrated approach for stock evaluation and portfolio optimization" @default.
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- W2047597617 doi "https://doi.org/10.1080/02331934.2011.644285" @default.
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