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An MCDM approach to portfolio optimization

Citations

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Cited by:

  1. Masoud Fekri & Babak Barazandeh, 2019. "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers 1903.06632, arXiv.org.
  2. Ana B. Ruiz & Rubén Saborido & José D. Bermúdez & Mariano Luque & Enriqueta Vercher, 2020. "Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences," Journal of Global Optimization, Springer, vol. 76(2), pages 295-315, February.
  3. Werner, Christoph & Bedford, Tim & Cooke, Roger M. & Hanea, Anca M. & Morales-Nápoles, Oswaldo, 2017. "Expert judgement for dependence in probabilistic modelling: A systematic literature review and future research directions," European Journal of Operational Research, Elsevier, vol. 258(3), pages 801-819.
  4. Francisco Salas-Molina & Juan A. Rodríguez-Aguilar & David Pla-Santamaria, 2019. "Characterizing compromise solutions for investors with uncertain risk preferences," Operational Research, Springer, vol. 19(3), pages 661-677, September.
  5. Paolo Giudici & Gloria Polinesi & Alessandro Spelta, 2022. "Network models to improve robot advisory portfolios," Annals of Operations Research, Springer, vol. 313(2), pages 965-989, June.
  6. Amita Sharma & Aparna Mehra, 2017. "Financial analysis based sectoral portfolio optimization under second order stochastic dominance," Annals of Operations Research, Springer, vol. 256(1), pages 171-197, September.
  7. Alexander Engau & Margaret M. Wiecek, 2008. "Interactive Coordination of Objective Decompositions in Multiobjective Programming," Management Science, INFORMS, vol. 54(7), pages 1350-1363, July.
  8. Constantin Zopounidis & Michael Doumpos, 2013. "Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 241-261, July.
  9. Hsin-Hung Chen & Hsien-Tang Tsai & Dennis Lin, 2011. "Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2795-2801.
  10. Cerqueti, Roy & Falbo, Paolo & Guastaroba, Gianfranco & Pelizzari, Cristian, 2013. "A Tabu Search heuristic procedure in Markov chain bootstrapping," European Journal of Operational Research, Elsevier, vol. 227(2), pages 367-384.
  11. Chen, Wei, 2015. "Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 125-139.
  12. Muhammad SABIR & Yousaf ALI, 2021. "Urban Traffic Congestion Revisited: A Traveler’S Perspective," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 16(4), pages 34-54, November.
  13. 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.
  14. Deng, Xue & Chen, Jiaxing & Wang, Xu & Geng, Fengting, 2022. "Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 59-78.
  15. 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.
  16. Chen, Yu-Wang & Poon, Ser-Huang & Yang, Jian-Bo & Xu, Dong-Ling & Zhang, Dongxu & Acomb, Simon, 2012. "Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints," European Journal of Operational Research, Elsevier, vol. 223(3), pages 775-784.
  17. 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.
  18. Viviana Ventre & Giacomo Tollo & Roberta Martino, 2024. "Consensus reaching process for portfolio selection: a behavioral approach," 4OR, Springer, vol. 22(2), pages 283-308, June.
  19. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2011. "Heuristic algorithms for the cardinality constrained efficient frontier," European Journal of Operational Research, Elsevier, vol. 213(3), pages 538-550, September.
  20. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
  21. Panagiotis Xidonas & George Mavrotas & John Psarras, 2010. "Equity portfolio construction and selection using multiobjective mathematical programming," Journal of Global Optimization, Springer, vol. 47(2), pages 185-209, June.
  22. Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2007. "Randomly generating portfolio-selection covariance matrices with specified distributional characteristics," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1610-1625, March.
  23. Janusz Miroforidis, 2021. "Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems," Journal of Global Optimization, Springer, vol. 80(3), pages 617-634, July.
  24. Mir Seyed Mohammad Mohsen Emamat & Caroline Maria de Miranda Mota & Mohammad Reza Mehregan & Mohammad Reza Sadeghi Moghadam & Philippe Nemery, 2022. "Using ELECTRE-TRI and FlowSort methods in a stock portfolio selection context," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-35, December.
  25. Rafael Rodríguez & Mariano Luque & Mercedes González, 2011. "Portfolio selection in the Spanish stock market by interactive multiobjective programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(1), pages 213-231, July.
  26. 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.
  27. Pankaj Gupta & Mukesh Mehlawat & Garima Mittal, 2012. "Asset portfolio optimization using support vector machines and real-coded genetic algorithm," Journal of Global Optimization, Springer, vol. 53(2), pages 297-315, June.
  28. Ralph Steuer & Yue Qi & Markus Hirschberger, 2007. "Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection," Annals of Operations Research, Springer, vol. 152(1), pages 297-317, July.
  29. P Xidonas & G Mavrotas & J Psarras, 2010. "A multiple criteria decision-making approach for the selection of stocks," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(8), pages 1273-1287, August.
  30. C-T Tsao, 2006. "A fuzzy MCDM approach for stock selection," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(11), pages 1341-1352, November.
  31. 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.
  32. Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
  33. J. L. Redondo & J. Fernández & P. M. Ortigosa, 2017. "FEMOEA: a fast and efficient multi-objective evolutionary algorithm," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(1), pages 113-135, February.
  34. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
  35. Branke, J. & Scheckenbach, B. & Stein, M. & Deb, K. & Schmeck, H., 2009. "Portfolio optimization with an envelope-based multi-objective evolutionary algorithm," European Journal of Operational Research, Elsevier, vol. 199(3), pages 684-693, December.
  36. Xidonas, Panagiotis & Mavrotas, George & Zopounidis, Constantin & Psarras, John, 2011. "IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection," European Journal of Operational Research, Elsevier, vol. 210(2), pages 398-409, April.
  37. Engau, Alexander, 2009. "Tradeoff-based decomposition and decision-making in multiobjective programming," European Journal of Operational Research, Elsevier, vol. 199(3), pages 883-891, December.
  38. 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.
  39. Alexander Nikiporenko, 2023. "Time-limited Metaheuristics for Cardinality-constrained Portfolio Optimisation," Papers 2307.04045, arXiv.org.
  40. Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
  41. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2013. "A new method for mean-variance portfolio optimization with cardinality constraints," Annals of Operations Research, Springer, vol. 205(1), pages 213-234, May.
  42. Marzi, Sepehr & Farnia, Luca & Dasgupta, Shouro & Mysiak, Jaroslav & Lorenzoni, Arturo, 2019. "Competence analysis for promoting energy efficiency projects in developing countries: The case of OPEC," Energy, Elsevier, vol. 189(C).
  43. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
  44. Wang, K.-J. & Wang, S.-M. & Chen, J.-C., 2008. "A resource portfolio planning model using sampling-based stochastic programming and genetic algorithm," European Journal of Operational Research, Elsevier, vol. 184(1), pages 327-340, January.
  45. Yue Qi, 2022. "Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models," Annals of Operations Research, Springer, vol. 311(2), pages 1203-1227, April.
  46. Yue Qi & Ralph E. Steuer & Maximilian Wimmer, 2017. "An analytical derivation of the efficient surface in portfolio selection with three criteria," Annals of Operations Research, Springer, vol. 251(1), pages 161-177, April.
  47. 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.
  48. Florian Methling & Rüdiger Nitzsch, 2020. "Tailor-made thematic portfolios: a core satellite optimization," Journal of Global Optimization, Springer, vol. 76(2), pages 317-331, February.
  49. Wang, Jiang-Jiang & Jing, You-Yin & Zhang, Chun-Fa & Zhao, Jun-Hong, 2009. "Review on multi-criteria decision analysis aid in sustainable energy decision-making," Renewable and Sustainable Energy Reviews, Elsevier, vol. 13(9), pages 2263-2278, December.
  50. Fredy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Empirical Performance of an ESG Assets Portfolio from US Market," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1569-1638, September.
  51. Meryem Masmoudi & Fouad Ben Abdelaziz, 2018. "Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models," Annals of Operations Research, Springer, vol. 267(1), pages 335-352, August.
  52. 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.
  53. Yue Qi & Ralph E. Steuer, 2020. "On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection," Annals of Operations Research, Springer, vol. 293(2), pages 521-538, October.
  54. Steuer, Ralph E. & Qi, Yue & Wimmer, Maximilian, 2024. "Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices," European Journal of Operational Research, Elsevier, vol. 313(2), pages 628-636.
  55. Maghsoodi, Abtin Ijadi, 2023. "Cryptocurrency portfolio allocation using a novel hybrid and predictive big data decision support system," Omega, Elsevier, vol. 115(C).
  56. Shicheng Hu & Danping Li & Junmin Jia & Yang Liu, 2021. "A Self-Learning Based Preference Model for Portfolio Optimization," Mathematics, MDPI, vol. 9(20), pages 1-17, October.
  57. Kiran Bisht & Arun Kumar, 2022. "Stock Portfolio Selection Hybridizing Fuzzy Base-Criterion Method and Evidence Theory in Triangular Fuzzy Environment," SN Operations Research Forum, Springer, vol. 3(4), pages 1-32, December.
  58. 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.
  59. Ameet Kumar Banerjee & H. K. Pradhan & Ahmet Sensoy & Frank Fabozzi & Biplab Mahapatra, 2024. "Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints," Annals of Operations Research, Springer, vol. 337(1), pages 1-22, June.
  60. Benita, Francisco & López-Ramos, Francisco & Nasini, Stefano, 2019. "A bi-level programming approach for global investment strategies with financial intermediation," European Journal of Operational Research, Elsevier, vol. 274(1), pages 375-390.
  61. Markus Hirschberger & Ralph E. Steuer & Sebastian Utz & Maximilian Wimmer & Yue Qi, 2013. "Computing the Nondominated Surface in Tri-Criterion Portfolio Selection," Operations Research, INFORMS, vol. 61(1), pages 169-183, February.
  62. Fereshteh Akbari & Mehrdad Ghaznavi & Esmaile Khorram, 2018. "A Revised Pascoletti–Serafini Scalarization Method for Multiobjective Optimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 178(2), pages 560-590, August.
  63. Yue Qi, 2017. "On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(1), pages 145-158, March.
  64. João Claro & Jorge Sousa, 2010. "A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem," Computational Optimization and Applications, Springer, vol. 46(3), pages 427-450, July.
  65. 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.
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