Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges.
Enrique BallesteroMarkus GüntherDavid Plà-SantamariaChristian StummerPublished in: Eur. J. Oper. Res. (2007)
Keyphrases
- multi criteria
- portfolio selection
- imprecise information
- robust optimization
- optimal portfolio
- decision makers
- transaction costs
- multi objective
- multiple objectives
- intuitionistic fuzzy sets
- fuzzy topsis
- fuzzy logic
- multi attribute
- stock market
- preference aggregation
- financial markets
- group decision making
- portfolio management
- multi criteria optimization
- expected utility
- decision making
- stock price
- objective function
- multi criteria decision making
- machine learning
- fuzzy numbers
- probability distribution
- belief functions
- data mining