PROMETHEE: a Fuzzy Algorithm for Decision Making in Stock Market Value Investing
(*) Corresponding author
the author of the article can submit here a request for assignment of a DOI number to this resource!
Cost of the service: euros 10,00 (for a DOI)
This thesis introduces the fuzzy PROMETHEE method to the investment decision-making process of value investing. Five performance criteria are used for measuring the growth potential of firms and are represented by fuzzy numbers based on the real financial data. The fuzzy PROMETHEE method is applied to rank 20 randomly selected stocks in Shanghai Stock Exchange. The portfolio with top 5 stocks is proven to have higher return and less risk than the portfolio with the top 10 stocks throughout the whole 17-month investment period. The empirical study shows the effectiveness of the fuzzy PROMETHEE method in the decision making process of value investing in stock markets
Copyright © 2013 Praise Worthy Prize - All rights reserved.
Brans, J.P., Vincke, Ph., Mareschal, B, How to select and how to rank projects:The PROMETHEE method, European Journal of Operational Research , vol.24, n.2, pp. 228-238, 1986.
Mareschal, B., Brans, J.P., BANKADVISER: An industrial evaluation system , European Journal of Operational Research, vol.54, n.3, pp.318-324,1991.
Vranegl, S., Stanojevic, M., Stevanovic, V., LuEin, M.,Expert Systems , vol.13, n.2, pp.105-120,1996.
Babic, Z., Plazibat, N., Ranking of enterprises based on multicriterial analysis, International Journal of Production Economics, Vol. 56-57, n.1, pp.29-35,1998.
Bouri, A., Martel, J.M., Chabchoub,A multi-criterion approach for selecting attractive portfolio, Journal of Multi-Criteria Decision Analysis,vol.11, n.3, pp.269-277,2002.
Kalogeras, N., Baourakis, G., Zopounidis, C., Van Dijk, G.,Evaluating the financial performance of agri-food firms: A multicriteria decision-aid approach, Journal of Food Engineering, vol.70, n.3 , pp.365-371,2005.
Albadvi, A., Chaharsooghi, S.K., Esfahanipour, A., Decision making in stock trading: An application of PROMETHEE, European Journal of Operational Research , vol.177, n.2, pp.673-683, 2007.
Majid Behzadiana, R.B. Kazemzadehb, A. Albadvib and M. Aghdasib, PROMETHEE: A comprehensive literature review on methodologies and applications, European Journal of Operational Research. vol. 200, n.1, pp.198-215,2010.
S.H.Qu, H. Li, X.L. Guo, Application of Interval-PROMETHEE Method for Decision Making in Investing , Proceedings of the 10th International Symposium on Operations Research and it’s Applications, (Page: 314-321,Year of Publication: 2011 ISBN:978-7-5100-3887-7).
Zadeh, L.A.,Fuzzy sets, Information and Control , vol.8, pp. 338-353,1965.
Hyde, K., Maier, H.R., and Colby, C.,Incorporating in the PROMETHEE MCDM method, Multi-criteria decision analysis, vol.12, n.4-5, pp.245-259,2003.
Geldermann J, Spengler T, Rentz O. , Fuzzy outranking for environmental assessment. Case study: iron and steel making industry, Fuzzy Sets and Systems , vol.115, n.1, pp.45–65,2000.
Goumas, M., Lygerou, V., An extension of the PROMETHEE method for decision making in fuzzy environment: Ranking of alternative energy exploitation projects, European Journal of Operational Research, vol.123, n.3, pp.606-613,2000.
Dubois, D., Prade, H. , Possibility Theory (Plenum Press,1988).
Zadeh, L.A., Fuzzy sets as a base for a theory of possibility, Fuzzy Sets and Systems ,vol.1, pp.3-28,1978.
Yager, Ronald R. ,Procedure for ordering fuzzy subsets of the unit interval, Information sciences, vol.24, n.2, pp.143-161,1981.
- There are currently no refbacks.
Please send any question about this web site to email@example.com
Copyright © 2005-2023 Praise Worthy Prize