GDL

Journal from gdlhub / 2018-10-17 08:48:29
By : Gour Sundar Mitra Thakur, Rupak Bhattacharyya, Seema Sarkar (Mondal), King Saud University
Created : 2018-06-02, with 1 files

Keyword : Stock portfolio selection, Ranking, Dempster–Shafer evidence theory, Ant Colony Optimization, Fuzzy Delphi method
Url : http://www.sciencedirect.com/science/article/pii/S1319157816300465
Document Source : WEB

Markowitz’s return–risk model for stock portfolio selection is based on the historical return data of assets. In addition to the effect of historical return, there are many other critical factors which directly or indirectly influence the stock market. We use the fuzzy Delphi method to identify the critical factors initially. Factors having lower correlation coefficients are finally considered for further consideration. The critical factors and historical data are used to apply Dempster–Shafer evidence theory to rank the stocks. Then, a portfolio selection model that prefers stocks with higher rank is proposed. Illustration is done using stocks under Bombay Stock Exchange (BSE). Simulation is done by Ant Colony Optimization. The performance of the outcome is found satisfactory when compared with recent performance of the assets.

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