Stock Portfolio Selection Using Dempster-Shafer Evidence Theory

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Mohammadi Shaban; NAGHSHBANDI NADER; Saeidi Hadi

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:8 | Issue:32 Page(s): 109-128

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Information Journal Paper

Title

Stock Portfolio Selection Using Dempster-Shafer Evidence Theory

Author(s)

Mohammadi Shaban | NAGHSHBANDI NADER | Saeidi Hadi | Issue Writer Certificate

Keywords

stock portfolio selectionQ1

RankingQ1

Dempster-Schaeffer theoryQ1

ant colony optimizationQ1

fuzzy Delphi MethodQ1

Abstract

Markovitz's risk-taking model is to select stocks based on historical asset data. In addition to the impact of historical returns, there are many other critical factors that directly or indirectly affect the stock market. The present study first uses the fuzzy Delphi Method to identify critical factors and ultimately considers factors with low correlation coefficients. Critical factors and historical data were used to adapt Dempestor-Schafer evidence theory for stock Rankings. Then, in the sampling model, stocks with a higher rank are proposed. Sampling was carried out using stock held on Tehran Stock Exchange and simulated by optimization of colonization of ant. The performance of the results is satisfactory in comparison with the recent performance of assets.

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APA: Copy

Mohammadi, Shaban, NAGHSHBANDI, NADER, & Saeidi, Hadi. (2020). Stock Portfolio Selection Using Dempster-Shafer Evidence Theory. INVESTMENT KNOWLEDGE, 8(32 ), 109-128. SID. https://sid.ir/paper/382235/en

Vancouver: Copy

Mohammadi Shaban, NAGHSHBANDI NADER, Saeidi Hadi. Stock Portfolio Selection Using Dempster-Shafer Evidence Theory. INVESTMENT KNOWLEDGE[Internet]. 2020;8(32 ):109-128. Available from: https://sid.ir/paper/382235/en

IEEE: Copy

Shaban Mohammadi, NADER NAGHSHBANDI, and Hadi Saeidi, “Stock Portfolio Selection Using Dempster-Shafer Evidence Theory,” INVESTMENT KNOWLEDGE, vol. 8, no. 32 , pp. 109–128, 2020, [Online]. Available: https://sid.ir/paper/382235/en

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