Using evolutionary computation to infer the decision maker’s preference model in presence of imperfect knowledge: A case study in portfolio optimization

Fernández, Eduardo; Navarro, Jorge; Solares, Efrain; Coello, Carlos Coello

doi:10.1016/j.swevo.2020.100648

Cited by 22 publications

(10 citation statements)

References 37 publications

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“…Finally, the rebalancing stage consists of adjusting previous conclusions to new information that will, presumably, positively impact on the overall results obtained by the investments. Technical analysis can be incorporated into any of the three phases [16][17][18]. Other typical factors used to address this type of investment, although dependent on the specific type of asset, are historical prices (time series), volume of transactions, volatility, price-to-earnings, price-to-book, price-to-sales, and price-to-cash flow [19].…”

Section: Literature Reviewmentioning

confidence: 99%

“…Technical analysis has been applied by practitioners for a number of decades (see, e.g., [44][45][46]) and numerous works claim its relevance for trading financial assets (c.f. [4,17,18]). An outstanding technique used by some of these works is regression analysis (e.g., [47][48][49]).…”

Section: Technical Analysismentioning

confidence: 99%

“…Numerous rules are widely applied by practitioners of this kind of approach, but it is outside the scope of this paper to provide a description of how they work. The reader is referred to [1] for algebraic definitions, [17] for graphical definitions, and [4,18] to explore case studies where this type of analysis is performed.…”

Section: Technical Analysismentioning

confidence: 99%

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A Compensatory Fuzzy Logic Model in Technical Trading

Rodríguez-Cándido

Andrade

Solares

et al. 2021

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This work presents a novel approach to prediction of financial asset prices. Its main contribution is the combination of compensatory fuzzy logic and the classical technical analysis to build an efficient prediction model. The interpretability properties of the model allow its users to incorporate and consider virtually any set of rules from technical analysis, in addition to the investors’ knowledge related to the actual market conditions. This knowledge can be incorporated into the model in the form of subjective assessments made by investors. Such assessments can be obtained, for example, from the graphical analysis commonly performed by traders. The effectiveness of the model was assessed through its systematic application in the stock and cryptocurrency markets. From the results, we conclude that when the model shows a high degree of recommendation, the actual financial assets show high effectiveness.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Technical Analysismentioning

confidence: 99%

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A Compensatory Fuzzy Logic Model in Technical Trading

Rodríguez-Cándido

Andrade

Solares

et al. 2021

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“…Its name is Eureka Universe (EU). Some examples of real applications using EU can be appreciated in the following website [97][98][99][100][101][102].…”

Section: Strategic Fundamentalsmentioning

confidence: 99%

“…Computational Tools for their use were created, and multiple applications were made in [9,10,[89][90][91][92][95][96][97][98][99][100][101][102][103][104][105][106][107][108][109][110][111][113][114][115][116][117][118][119][120][121][122]. A methodology for knowledge management and decision making in organizations was elaborated in [6][7][8].…”

Section: Emergence and Development Of Cfl (From 2005)mentioning

confidence: 99%

Transdisciplinary Scientific Strategies for Soft Computing Development: Towards an Era of Data and Business Analytics

Andrade

Pedrycz

Solares

et al. 2021

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This research is a review and analysis paper that offers a transdisciplinary, methodological, and strategic vision for soft computing development towards a wider favorable impact in data analytics. Strategies are defined, explained, and illustrated by examples. The paper also shows how these strategies are expressed in three dimensions of an ambitious actions plan. They are all integrated into a master strategy called wide knowledge discovery, which offers a way towards the augmented analytics paradigm. Some contributions of this work are defining what kind of mathematical elements should be introduced into soft computing towards a better impact on the area of data analytics, offering orientation towards building new mathematical elements, and defining why and how they can be introduced.

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Stock selection multicriteria decision‐making method based on elimination and choice translating reality I with Z‐numbers

Peng

Xiao

Wang

et al. 2021

Int J of Intelligent Sys

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Stock selection for effective investment decisions is a valuable and attractive research interest for many years. Owing to the uncertainty and complexity of the stock market, many fuzzy multicriteria decision‐making (MCDM) methods were proposed to solve stock selection problems. However, these methods have difficulty in characterizing unreliable information, which is widespread in the stock market, and handling the non‐compensation among multiple criteria. In this paper, an innovative method is developed from the perspectives of information reliability and criterion non‐compensation to manage stock selection problems. First, the Z‐number, which is a powerful tool for describing real‐life information and identifying information reliability, is introduced to depict stock evaluation information. Second, the outranking degree of Z‐numbers is defined based on the fuzzy and probability information. Subsequently, some outranking aggregation and exploitation procedures are presented based on the idea of Elimination and Choice Translating Reality (ELECTRE) I to handle the non‐compensation among stock evaluation criteria. By integrating the above studies, a Z‐number ELECTRE I MCDM method is developed. Finally, a stock investment object selection problem is solved, and some discussions and analyses are conducted to testify the applicability and validity of this method.

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Using evolutionary computation to infer the decision maker’s preference model in presence of imperfect knowledge: A case study in portfolio optimization

Cited by 22 publications

References 37 publications

A Compensatory Fuzzy Logic Model in Technical Trading

A Compensatory Fuzzy Logic Model in Technical Trading

Transdisciplinary Scientific Strategies for Soft Computing Development: Towards an Era of Data and Business Analytics

Stock selection multicriteria decision‐making method based on elimination and choice translating reality I with Z‐numbers

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