Stock portfolio selection using a hybrid fuzzy approach: a case study in Tehran Stock Exchange

Rezaeian, Javad; Fatemeh, Akbari

doi:10.1504/ijor.2015.068560

Cited by 9 publications

(4 citation statements)

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“…Sing has introduced a novel grep prediction system for forecasting the value of various cryptocurrencies [25]. Ramezani utilized grey relational analysis to randomly select stocks from different industries listed on the Tehran Stock Exchange, this study focused on dynamic portfolio selection and its experimental implementation [26]. Trading in financial markets is similar to a game process, some trading strategies [27][28][29][30] based on deep reinforcement learning have been proposed and proven effective.…”

Section: Trading Strategymentioning

confidence: 99%

A short-term price prediction-based trading strategy

Fan,

Zhang,

et al. 2024

PLoS ONE

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Quantitative investment theory has emerged as a prominent and widely researched domain within the financial markets, where investors predominantly focus on discerning the intricate influences of market dynamics. In this paper, we proposed a short-term prediction-based trading strategy, which can equiponderate between return and risk, considerations while accounting for investor risk preferences. This strategy employs GM(1,1) to capture nuanced features of price dynamics in short-term intervals and update the GM(1,1) model with the latest data. Subsequently, a multi-objective planning equation is formulated to optimize asset allocations by determining the optimal holding that strikes between specific returns and risk mitigation. In the end, this work conducts a case study and sensitivity analysis using five years of gold and bitcoin price data spanning from 2016 to 2021. This empirical examination serves to affirm the efficacy and resilience of the proposed trading strategy. The case study reveals that proficient short-term price forecasting serves as a potent means to proactively mitigate risk, facilitating, judicious and objective trading practices. Moreover, it underscores the strategy’s tangible utility as a guide for real-world investment decisions.

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Section: Trading Strategymentioning

confidence: 99%

A short-term price prediction-based trading strategy

Fan,

Zhang,

et al. 2024

PLoS ONE

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“…The modified CFCS process, which is established on the minimum and maximum grey number bound, is employed to convert grey numbers into crisp scores. Different approaches, such as the centroid method, exist, but CFCS is more effective at generating crisp scores when compared to others (Rezaeian & Akbari, 2015).…”

Section: Grey Approachmentioning

confidence: 99%

“…However, classic DEMATEL has been proven to not be adequate in solving problems related to incomplete information, uncertainty, partial ignorance, and subjective evaluation (Bai & Sarkis, 2011). In tackling the inefficiencies stated above, researchers have resorted to an integrated fuzzy DEMATEL approach (Rezaeian & Akbari, 2015;Pourjavad & Shahin, 2018). Nevertheless, this fuzzy method has constraints with fuzziness.…”

Section: Grey-anpmentioning

confidence: 99%

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A Hybrid Grey McDm Approach for Asset Allocation: Evidence From China’s Shanghai Stock Exchange

Mills

Baafi

Amowine

et al. 2020

Journal of Business Economics and Management

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Asset allocation is a critical concern for any investor in the financial market. This paper aims to prioritize five randomly selected firms from the top ten stocks by market capitalization of the Shanghai Stock Exchange (SSE) by opting for adequate financial procedures and practical criteria under uncertain conditions. Decision makers want not only the ranking order of stocks but also capital proportions to be allocated. Therefore, this study uses a hybrid multi-criteria decision-making (MCDM) approach comprising of an integrated analytic network process (ANP) and decision making trial and evaluation laboratory (DEMATEL) in a grey environment for optimal portfolio selection to provide both ranking and weighting information for decision makers. Results indicate that return, financial ratios, dividends, and risk are causal criteria group, which are the most influential determinants for obtaining high benefits with regards to stock portfolio selection in SSE. The free float of stocks is the least influencing criterion among all identified criteria of stock portfolio selection of SSE. The Industrial and Commercial Bank of China Ltd. stocks have the highest allocated proportion with the highest priority shown by investors and can be described as a suitable alternative. The practical implications of this research are that the approach, when applied, highlights how the grey system theory minimizes the uncertainties in all stages of decision-making of portfolio selection.

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