A Hybrid Grey Based KOHONEN Model and Biogeography-Based Optimization for Project Portfolio Selection

Razi, Farshad Faezy; Eshlaghy, Abbas Toloie; Nazemi, Jamshid; Alborzi, Mahmood; Pourebrahimi, Alireza

doi:10.1155/2014/159675

Cited by 4 publications

(4 citation statements)

References 39 publications

(39 reference statements)

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“…In this situation, many hybrid meta-heuristic methods are developed by combining the meta-heuristics and exact algorithms or other meta-heuristics. Here, some hybrid approaches have been also discussed to solve portfolio optimization problems (Tuba and Bacanin, 2014a, b; Faezy Razi and Shadloo, 2017; Zaheer et al , 2018; Salehpoor and Molla-Alizadeh-Zavardehi, 2019). This hybrid approach can be a combination of meta-heuristic approaches such as simulation annealing and evolutionary approach, ABC and PSO, GA and ACO, etc.…”

Section: Related Workmentioning

confidence: 99%

“…In 2014, Tuba and Bacanin proposed a hybrid algorithm for portfolio selection problems using ABC and FA meta-heuristic approaches with cardinality constrained mean-variance. Some recent work has also proposed a hybrid algorithm to solve the portfolio optimization problem (Faezy Razi and Shadloo, 2017; Zaheer et al , 2018; Salehpoor and Molla-Alizadeh-Zavardehi, 2019).…”

Section: Related Workmentioning

confidence: 99%

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Solving constrained portfolio optimization model using stochastic fractal search approach

Shahid

Ashraf²,

Shamim³

et al. 2022

IJICC

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PurposeOptimum utilization of investments has always been considered one of the most crucial aspects of capital markets. Investment into various securities is the subject of portfolio optimization intent to maximize return at minimum risk. In this series, a population-based evolutionary approach, stochastic fractal search (SFS), is derived from the natural growth phenomenon. This study aims to develop portfolio selection model using SFS approach to construct an efficient portfolio by optimizing the Sharpe ratio with risk budgeting constraints.Design/methodology/approachThis paper proposes a constrained portfolio optimization model using the SFS approach with risk-budgeting constraints. SFS is an evolutionary method inspired by the natural growth process which has been modeled using the fractal theory. Experimental analysis has been conducted to determine the effectiveness of the proposed model by making comparisons with state-of-the-art from domain such as genetic algorithm, particle swarm optimization, simulated annealing and differential evolution. The real datasets of the Indian stock exchanges and datasets of global stock exchanges such as Nikkei 225, DAX 100, FTSE 100, Hang Seng31 and S&P 100 have been taken in the study.FindingsThe study confirms the better performance of the SFS model among its peers. Also, statistical analysis has been done using SPSS 20 to confirm the hypothesis developed in the experimental analysis.Originality/valueIn the recent past, researchers have already proposed a significant number of models to solve portfolio selection problems using the meta-heuristic approach. However, this is the first attempt to apply the SFS optimization approach to the problem.

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Section: Related Workmentioning

confidence: 99%

Section: Related Workmentioning

confidence: 99%

Solving constrained portfolio optimization model using stochastic fractal search approach

Shahid

Ashraf²,

Shamim³

et al. 2022

IJICC

View full text Add to dashboard Cite

show abstract

“…In order to avoid these drawbacks in ratings, GRA is applied along with the HOS. GRA has been widely used in energy issues and applied in the analysis of multi-objective decision situations (Bing et al, 2007;Faezy Razi et al, 2014;Liu et al, 2013;Saavedra et al, 2013;Xu et al, 2011); it has also been applied in environmental impact assessment, in terms of emission (Han et al, 2006), Sustainabilitybased approach and in combination with AHP, fuzzy logic and Taguchi method or with different other techniques (Arce et al, 2015;Memon et al, 2015). GRA in combination with HOS is proposed in this paper.…”

Section: Tools For Sustainability By Designmentioning

confidence: 99%

A house of sustainability-based approach for green product design

Upadhyay

Kumar

2019

MEQ

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Purpose Investors are looking for the organizations which have robust strategy and planning method meeting the current and future guidelines and policies on environmental regulations to improve sustainability. Thus, most of the business units have been striving to incorporate sustainability into process and product or service design in such a way that carbon footprint should be minimized. Sustainable product and service design remain a challenge for industrial organizations because of the involvement of multifaceted factors in the design endeavor. The purpose of this paper is to develop a methodology to include sustainability functions at the design phase of the product or process. Design/methodology/approach The authors have modified the house of quality concept, and grey relational analysis-house of sustainability process is proposed in this paper, which includes consideration of all sustainability dimensions including environmental at the design phase of the product or process development. The process has been explained with an example of retail service design. Findings The proposed approach incorporates the specific business environment and the type of product to be designed with all three levels of sustainability by design. By capturing all sustainability dimensions in the design stage itself, various issues may be taken care of at the initial stage of operations, which are likely to affect sustainability in all activities of the supply chain and the organization as a whole. Thus the proactive sustainable designing considerably eases and improves the sustainability reporting and meeting the legislative guidelines prescribed by the governmental agencies of the country. Originality/value A novel methodology has been proposed to include sustainability functions at the design phase, which is strategically useful for sustainable operations and to develop a sustainable product or process.

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“…The recent extensive literature on the application of grey relational analysis to energy issues underlines the current importance of the topic [18,20,24,[42][43][44][45][46][47][48][49][50][51][52][53][54][55][56][57] because GRA is well suited to the analysis of multi-objective systems [11,58,59]. As other studies have noted, multi-criteria optimization analysis methods have gained in popularity beyond 1990s [9].…”

Section: Grey Relational Analysis and Multi-criteria Decision Analysismentioning

confidence: 99%

The use of grey-based methods in multi-criteria decision analysis for the evaluation of sustainable energy systems: A review

Arce

Saavedra

Mı́guez

et al. 2015

Renewable and Sustainable Energy Reviews

133

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A Hybrid Grey Based KOHONEN Model and Biogeography-Based Optimization for Project Portfolio Selection

Cited by 4 publications

References 39 publications

Solving constrained portfolio optimization model using stochastic fractal search approach

Solving constrained portfolio optimization model using stochastic fractal search approach

A house of sustainability-based approach for green product design

The use of grey-based methods in multi-criteria decision analysis for the evaluation of sustainable energy systems: A review

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