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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.16 No.4
- 발행연도
- 2017.12
- 수록면
- 534 - 541 (8page)
- DOI
- 10.7232/iems.2017.16.4.534
이용수
초록· 키워드
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The purpose of this paper is to present a new technique to the portfolio selection using genetic algorithm and fuzzy synthetic evaluation. Portfolio selection is a multi-objective/criteria decision-making problem in financial management. The proposed approach solves the problem in two stages. In the first stage, by using genetic algorithm and fuzzy synthetic evaluation, weight of criteria will be calculated. Euclidean distance between the computed overall performance evaluation and the surveyed overall performance evaluation is used in order to determining weight of criteria. In second stage, by using genetic algorithm and fuzzy synthetic evaluation, Portfolios will be prioritized. A multi objective genetic algorithm is used to determine return and risk in the efficient frontier. A decision-making approach is based fuzzy synthetic evaluation to select the best portfolio from among the solutions obtained by multi objective genetic algorithm. The main advantage of proposed approach is help to investors to find a portfolio which have Best performance, portfolio selection doesn’t rely to expert knowledge. The value of the paper is due to it use new approach in order to determine weight of criteria and portfolio selection. It surveys firms’ performance in stock market and based on, weight of criteria will be determined and portfolio will be prioritized.
목차
ABSTRACT
1. INTRODUCTION
2. FORMALIZATION OF PORTFOLIO SELECTION
3. DATA COLLECTION AND MEASURES
4. RESULTS AND DISCUSSION
4. CONCLUSION
REFERENCES
참고문헌 (19)
참고문헌 신청
Cui, G., Wong, M. L., and Wan, X. (2015), Targeting high value customers while under resource constraint: Partial order constrained optimization with genetic algorithm, Journal of Interactive Marketing, 29, 27-37.
Dahiya, S., Singh, B., Gaur, S., Garg, V. K., and Kushwaha, H. S. (2007), Analysis of groundwater quality using fuzzy synthetic evaluation, Journal of Hazardous Materials, 147(3), 938-946.
Edirisinghe, N. and Zhang, X. (2008), Portfolio selection under DEA-based relative financial strength indicators: Case of US industries, Journal of the Operational Research Society, 59(6), 842-856.
Feng, S. and Xu, L. D. (1999), Decision support for fuzzy comprehensive evaluation of urban development, Fuzzy Sets and Systems, 105(1), 1-12.
Fernandez, A. and Gomez, S. (2007), Portfolio selection using neural networks, Computers & Operations Research, 34(4), 1177-1191.
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