A Novel Framework for Portfolio Selection Model Using Modified ANFIS and Fuzzy Sets

Kumar, Chanchal; Doja, M. N.

doi:10.3390/computers7040057

Cited by 5 publications

(3 citation statements)

References 42 publications

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“…Modification of the adaptive neuro-fuzzy inference system (ANFIS) was proposed in [5] as a tool. The proposal deserves special attention due to the introduction at the early stages of a model of an additional control element based on fuzzy logic.…”

Section: Literature Review and Problem Statementmentioning

confidence: 99%

Devising a technology for managing outsourcing IT-projects with the application of fuzzy logic

Sokolovska

Dudnyk

2021

EEJET

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An outsourcing IT project management model has been developed. The proposed model features taking into account the specifics of project management processes at outsourcing IT companies in terms of the uncertainty of the external and internal environment of their operation. The model is based on the stage-gate project management framework with fuzzy logic tools. The proposed modification of the fuzzy inference mechanism makes it possible to refuse to save the intermediate results which reduce the load on the database and create the possibility of using semantic networks. The technology of expert consultations was demonstrated by the example of decision-making regarding the assessment of the current status of the IT projects accepted by the outsourcing company for development. Dynamic nature and cyclical management of the portfolio of IT projects involves constant monitoring of the results of implementation with an appropriate regular portfolio reforming. The model was developed to improve the efficiency of the software development sub-process and minimize the negative consequences of financial dependence on the customer. The application software developed on the basis of the model of management of outsourcing IT projects and modification of the fuzzy inference mechanism has found practical application and was implemented in the computational practice of HYS Enterprise B.V. outsourcing IT company. Testing of the program shell has shown positive results in the course of solving the tasks peculiar to concrete stages of IT project management. The proposed structure and composition of the fuzzy knowledgebase of the expert shell are quite typical in terms of IT outsourcing problems. It is expedient to use the developed model at outsourcing IT companies in the process of project portfolio management

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Section: Literature Review and Problem Statementmentioning

confidence: 99%

Devising a technology for managing outsourcing IT-projects with the application of fuzzy logic

Sokolovska

Dudnyk

2021

EEJET

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“…London et al [23] investigated the Markowitz PS problem and implemented several estimators to determine the expected return of a portfolio. Kumar and Doja [24] and then Wei et al [25] showed that the feasibility of replacing expert subjectiveness with knowledge based on the given information.…”

Section: Introductionmentioning

confidence: 99%

Solution of Extended Multi-Objective Portfolio Selection Problem in Uncertain Environment Using Weighted Tchebycheff Method

Kumar

2022

Computers

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In this paper, a mathematical model for an extended multi-objective portfolio selection (EMOPS) problem is explored with liquidity considered as another objective function besides the risk and return. The model is mathematically formulated in an uncertain environment. The concerned uncertainty is dealt with by employing the fuzzy numbers in the risk matrix and return. While the fuzzy EMOPS model is converted into the corresponding deterministic case based on the α—level sets of the fuzzy numbers, a weighted Tchebycheff method is implemented by defining relative weights and ideal targets. The merit of the suggested method is the applicability in many real-world situations. At the end, some numerical illustration is exhibited for the utility of the suggested EMOPS problem. Finally, it is concluded that the suggested method is simple to learn and to implement in real-life situations for the decision maker.

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“…Over time, Markowitz's theory has been extended and improved by different approaches to modeling uncertainty. Fuzzy sets have been widely employed in portfolio optimization because the uncertainty of return can be easily quantified by fuzzy variables [2,3]. Recently, the neutrosophic theory, which extends the fuzzy concept, has been applied for solving portfolio selection problems [4] and for characterization of both portfolio performance indicators: return and risk [5].…”

Section: Introductionmentioning

confidence: 99%

Preference Based Portfolio for Private Investors: Discrete Choice Analysis Approach

2019

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Behavioral finance literature shows that in addition to Markowitz’s rate of return and risk, private investors consider various other stock features. This paper discusses the problem of determining investors’ preferences for portfolio selection criteria, as well as the problem of optimal portfolio determination from the investors’ point of view. The study primarily focuses on private investors who are interested in one-time investments rather than stock trading. We use a discrete choice analysis and hierarchical Bayes method to measure individual investors’ preferences, and a logit model to determine individual shares of preferences. We treat the share of preferences as the share of certain stocks in an optimal portfolio. The proposed methodology is illustrated by the example of companies whose stocks are traded on the Belgrade Stock Exchange. We measure respondents’ preferences for companies, preferences for return rates, riskiness of stocks, and dividend rates. The results of comparing the performance of the resulting portfolio with the efficient frontier obtained using Markowitz’s portfolio theory indicate its high efficiency, thus validating the proposed approach.

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A Novel Framework for Portfolio Selection Model Using Modified ANFIS and Fuzzy Sets

Cited by 5 publications

References 42 publications

Devising a technology for managing outsourcing IT-projects with the application of fuzzy logic

Devising a technology for managing outsourcing IT-projects with the application of fuzzy logic

Solution of Extended Multi-Objective Portfolio Selection Problem in Uncertain Environment Using Weighted Tchebycheff Method

Preference Based Portfolio for Private Investors: Discrete Choice Analysis Approach

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