IDEAS home Printed from https://ideas.repec.org/a/spr/ijsaem/v16y2025i2d10.1007_s13198-024-02610-6.html
   My bibliography  Save this article

TODIM with XGBOOST and MVO metaheuristic approach for portfolio optimization

Author

Listed:
  • Veena Jain

    (University of Delhi)

  • Rishi Rajan Sahay

    (University of Delhi)

  • Nupur

    (University of Delhi)

Abstract

This paper presents an innovative and comprehensive approach to portfolio optimization that integrates TODIM, a multi criteria decision making method, with the proposed forecasting model for asset selection and return prediction. The optimization process utilizes the multi-verse optimizer, a powerful metaheuristic algorithm. TODIM is initially employed to select the top 10 companies from the Nifty 100 index based on various financial indicators. Daily return predictions for the selected portfolio are enhanced through an ensemble forecasting approach, BN-XGBoost, which combines BiLSTM and N-BEATS models, with XGBoost serving as a meta-learner to improve accuracy. The portfolio optimization problem, framed as a higher-order asymmetric risk model, incorporates semi-variance, higher order moments of return, and entropy. The proposed optimization framework is compared against a variance-based model, demonstrating superior portfolio performance. This research provides valuable insights for investors seeking advanced strategies to navigate complex financial markets and achieve optimal portfolio outcomes.

Suggested Citation

  • Veena Jain & Rishi Rajan Sahay & Nupur, 2025. "TODIM with XGBOOST and MVO metaheuristic approach for portfolio optimization," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 16(2), pages 595-612, February.
    • Handle: RePEc:spr:ijsaem:v:16:y:2025:i:2:d:10.1007_s13198-024-02610-6
    DOI: 10.1007/s13198-024-02610-6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s13198-024-02610-6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s13198-024-02610-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Yuze Li & Shangrong Jiang & Yunjie Wei & Shouyang Wang, 2021. "Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
    2. Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
    3. Veena Jain & Rishi Rajan Sahay & Nupur, 2024. "Multi-verse metaheuristic and deep learning approach for portfolio selection with higher moments," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 15(5), pages 1956-1970, May.
    4. Leoneti, Alexandre Bevilacqua & Gomes, Luiz Flavio Autran Monteiro, 2021. "A novel version of the TODIM method based on the exponential model of prospect theory: The ExpTODIM method," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1042-1055.
    5. Fathy, Ahmed & Rezk, Hegazy, 2018. "Multi-verse optimizer for identifying the optimal parameters of PEMFC model," Energy, Elsevier, vol. 143(C), pages 634-644.
    6. Jing-Yi Lai, 2012. "An empirical study of the impact of skewness and kurtosis on hedging decisions," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1827-1837, December.
    7. Wang, Liang & Zhang, Zi-Xin & Ishizaka, Alessio & Wang, Ying-Ming & Martínez, Luis, 2023. "TODIMSort: A TODIM based method for sorting problems," Omega, Elsevier, vol. 115(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.
    2. Rastegar, Narges & Khorram, Esmaile, 2014. "A combined scalarizing method for multiobjective programming problems," European Journal of Operational Research, Elsevier, vol. 236(1), pages 229-237.
    3. Rezk, Hegazy & AL-Oran, Mazen & Gomaa, Mohamed R. & Tolba, Mohamed A. & Fathy, Ahmed & Abdelkareem, Mohammad Ali & Olabi, A.G. & El-Sayed, Abou Hashema M., 2019. "A novel statistical performance evaluation of most modern optimization-based global MPPT techniques for partially shaded PV system," Renewable and Sustainable Energy Reviews, Elsevier, vol. 115(C).
    4. Maghsoodi, Abtin Ijadi, 2023. "Cryptocurrency portfolio allocation using a novel hybrid and predictive big data decision support system," Omega, Elsevier, vol. 115(C).
    5. Laith Abualigah & Ali Diabat & Davor Svetinovic & Mohamed Abd Elaziz, 2023. "Boosted Harris Hawks gravitational force algorithm for global optimization and industrial engineering problems," Journal of Intelligent Manufacturing, Springer, vol. 34(6), pages 2693-2728, August.
    6. José Fernández & Boglárka Tóth, 2009. "Obtaining the efficient set of nonlinear biobjective optimization problems via interval branch-and-bound methods," Computational Optimization and Applications, Springer, vol. 42(3), pages 393-419, April.
    7. Zhao, Meng & Xu, Chang & Zhao, Wenxian & Lin, Mingwei, 2023. "New energy vehicle online selection method considering attribute compensation relationship and aspiration strength," Journal of Retailing and Consumer Services, Elsevier, vol. 75(C).
    8. Florian Methling & Rüdiger Nitzsch, 2019. "Thematic portfolio optimization: challenging the core satellite approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 133-154, June.
    9. Mahdi Massahi & Masoud Mahootchi & Alireza Arshadi Khamseh, 2020. "Development of an efficient cluster-based portfolio optimization model under realistic market conditions," Empirical Economics, Springer, vol. 59(5), pages 2423-2442, November.
    10. Yeudiel Lara Moreno & Carlos Ignacio Hernández Castellanos, 2024. "A Hierarchical Approach to a Tri-Objective Portfolio Optimization Problem Considering an ESG Index," Mathematics, MDPI, vol. 12(19), pages 1-16, October.
    11. Ceren Tuncer Şakar & Murat Köksalan, 2013. "A stochastic programming approach to multicriteria portfolio optimization," Journal of Global Optimization, Springer, vol. 57(2), pages 299-314, October.
    12. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    13. kanouni, Badreddine & Laib, Abdelbaset & Necaibia, Salah & Krama, Abdelbasset & Guerrero, Josep M., 2025. "Pied kingfisher optimizer for accurate parameter extraction in proton exchange membrane fuel cell," Energy, Elsevier, vol. 325(C).
    14. Xiao-Kang Wang & Wen-Hui Hou & Chao Song & Min-Hui Deng & Yong-Yi Li & Jian-Qiang Wang, 2021. "BW-MaxEnt: A Novel MCDM Method for Limited Knowledge," Mathematics, MDPI, vol. 9(14), pages 1-17, July.
    15. Bilbao, A. & Arenas, M. & Rodriguez, M.V. & Antomil, J., 2007. "On constructing expert Betas for single-index model," European Journal of Operational Research, Elsevier, vol. 183(2), pages 827-847, December.
    16. Wang, Fang & Zhang, Hengjie & Wang, Jigan, 2025. "Strategic behavior in multi-criteria sorting with trust relationships-based consensus mechanism: Application in supply chain risk management," European Journal of Operational Research, Elsevier, vol. 321(3), pages 907-924.
    17. Xu, Shuhui & Wang, Yong & Wang, Zhi, 2019. "Parameter estimation of proton exchange membrane fuel cells using eagle strategy based on JAYA algorithm and Nelder-Mead simplex method," Energy, Elsevier, vol. 173(C), pages 457-467.
    18. Yang, Zirong & Jiao, Kui & Wu, Kangcheng & Shi, Weilong & Jiang, Shangfeng & Zhang, Longhai & Du, Qing, 2021. "Numerical investigations of assisted heating cold start strategies for proton exchange membrane fuel cell systems," Energy, Elsevier, vol. 222(C).
    19. A. Garcia-Bernabeu & J. V. Salcedo & A. Hilario & D. Pla-Santamaria & Juan M. Herrero, 2019. "Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA," Complexity, Hindawi, vol. 2019, pages 1-12, December.
    20. Fathy, Ahmed & Rezk, Hegazy & Alharbi, Abdullah G. & Yousri, Dalia, 2023. "Proton exchange membrane fuel cell model parameters identification using Chaotically based-bonobo optimizer," Energy, Elsevier, vol. 268(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:ijsaem:v:16:y:2025:i:2:d:10.1007_s13198-024-02610-6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.