A new deployment of the multiple criteria decision making (MCDM) techniques: the Simple Additive Weighting (SAW), and the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) for portfolio allocation, is demonstrated in this paper. Rather than exclusive reference to mean and variance as in the traditional mean-variance method, the criteria used in this demonstration are the f...

A new deployment of the multiple criteria decision making (MCDM) techniques: the Simple Additive Weighting (SAW), and the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) for portfolio allocation, is demonstrated in this paper. Rather than exclusive reference to mean and variance as in the traditional mean-variance method, the criteria used in this demonstration are the f...

In this paper, two kinds of portfolio selection models are proposed based on fuzzy probabilities and possibility distributions, respectively, rather than conventional probability distributions in Markowitz’s model. Since fuzzy probabilities and possibility distributions are obtained depending on possibility grades of security data o ered by experts, investment experts’ knowledge can be re ected...

Empirical studies show that individual investors do not always behave rationally and do not use standard investment portfolio selection tasks. In this paper we focus on investor choices and the basic elements affecting them. The paper presents optimization model based on a measure of investor satisfaction. The model is created on the basis of surveys conducted among Polish individual investors....

As many data-driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decisionmaking problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decis...

This paper proposes an entropy method for diversified fuzzy portfolio selection. Proportion entropy is introduced and credibilistic mean-variance and mean-semivariance diversification models for fuzzy portfolio selection are proposed. The crisp forms of the proposed models are also provided when the security returns are all triangular fuzzy variables. As an illustration, an application example ...

Portfolio selection problems include vague parameters and fuzzy set is a powerful tool to cope with uncertainty caused by both the financial markets and the behavior of the investors’ decisions. This paper presents a fuzzy multi-criteria decision making (MCDM) approach to evaluate nine stocks taken from ISE. The Fuzzy Analytic Hierarchy Process method is applied to determine the weights of crit...

In this paper, several portfolio selection problems with normal mixture distributions including fuzziness are proposed. Until now, many researchers have proposed portfolio models based on the stochastic approach, and there are some models considering both random and ambiguous conditions, particularly using fuzzy random or random fuzzy variables. However, the model including normal mixture distr...

This article presents a hierarchical process for multiobjective portfolio selection in fuzzy environment. Methodology proposed in this paper is consist of three main steps; (a) determining weight of each objective including return, risk and liquidity, by fuzzy logarithmic least square according to investors’ preferences matrix by the means of DE algorithm, (b&c) assigning pareto frontiers of pr...