How to cite this paper
Skoruchi, A & Mohammadi, E. (2022). Uncertain portfolio optimization based on Dempster-Shafer theory.Management Science Letters , 12(3), 207-214.
Refrences
Barro, D., & Canestrelli, E. (2005). Dynamic portfolio optimization: Time decomposition using the maximum principle with a scenario approach. European Journal of Operational Research, 163(1), 217-229.
Bradley, S. P., & Crane, D. B. (1972). A dynamic model for bond portfolio management. Management science, 19(2), 139-151.
Dempster, A. P. (1967). Upper and lower probability inferences based on a sample from a finite univariate population. Bi-ometrika, 54(3-4), 515-528.
Fulton, L. V., & Bastian, N. D. (2019). Multiperiod stochastic programming portfolio optimization for diversified funds. International Journal of Finance & Economics, 24(1), 313-327.
Guastaroba, G., Mansini, R., & Speranza, M. G. (2009). On the effectiveness of scenario generation techniques in single-period portfolio optimization. European Journal of Operational Research, 192(2), 500-511.
Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American Econom-ic Review, 70(3), 393-408.
Konno, H., & Yamazaki, H. (1991). Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Management Science, 37(5), 519-531.
Liesiö, J., & Salo, A. (2012). Scenario-based portfolio selection of investment projects with incomplete probability and utility information. European Journal of Operational Research, 217(1), 162-172.
Markowitz, H. M. (1952). Portfolio selection. Yale university press.
Mohammadi, S. E., & Makui, A. (2017). Multi-attribute group decision making approach based on interval-valued intui-tionistic fuzzy sets and evidential reasoning methodology. Soft Computing, 21(17), 5061-5080.
Mulvey, J. M., & Vladimirou, H. (1992). Stochastic network programming for financial planning problems. Management science, 38(11), 1642-1664.
Mulvey, J. M., Vanderbei, R. J., & Zenios, S. A. (1995). Robust optimization of large-scale systems. Operations research, 43(2), 264-281.
Pavlou, A., Doumpos, M., & Zopounidis, C. (2018). The robustness of portfolio efficient frontiers: A comparative analysis of bi-objective and multi-objective approaches. Management Decision, 57(2), 300-313.
Şakar, C. T., & Köksalan, M. (2013). A stochastic programming approach to multicriteria portfolio optimization. Journal of Global Optimization, 57(2), 299-314.
Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management science, 9(2), 277-293.
Siskos, Y., Spyridakos, A., & Yannacopoulos, D. (1999). Using artificial intelligence and visual techniques into prefer-ence disaggregation analysis: The MUDAS system. European Journal of Operational Research, 113(2), 281-299.
Thakur, G. S. M., Bhattacharyya, R., & Sarkar, S. (2018). Stock portfolio selection using Dempster–Shafer evidence theo-ry. Journal of King Saud University-Computer and Information Sciences, 30(2), 223-235.
Yunusoglu, M. G., & Selim, H. (2013). A fuzzy rule based expert system for stock evaluation and portfolio construction: An application to Istanbul Stock Exchange. Expert Systems with Applications, 40(3), 908-920.
Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support sys-tem for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398-409.
Bradley, S. P., & Crane, D. B. (1972). A dynamic model for bond portfolio management. Management science, 19(2), 139-151.
Dempster, A. P. (1967). Upper and lower probability inferences based on a sample from a finite univariate population. Bi-ometrika, 54(3-4), 515-528.
Fulton, L. V., & Bastian, N. D. (2019). Multiperiod stochastic programming portfolio optimization for diversified funds. International Journal of Finance & Economics, 24(1), 313-327.
Guastaroba, G., Mansini, R., & Speranza, M. G. (2009). On the effectiveness of scenario generation techniques in single-period portfolio optimization. European Journal of Operational Research, 192(2), 500-511.
Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American Econom-ic Review, 70(3), 393-408.
Konno, H., & Yamazaki, H. (1991). Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Management Science, 37(5), 519-531.
Liesiö, J., & Salo, A. (2012). Scenario-based portfolio selection of investment projects with incomplete probability and utility information. European Journal of Operational Research, 217(1), 162-172.
Markowitz, H. M. (1952). Portfolio selection. Yale university press.
Mohammadi, S. E., & Makui, A. (2017). Multi-attribute group decision making approach based on interval-valued intui-tionistic fuzzy sets and evidential reasoning methodology. Soft Computing, 21(17), 5061-5080.
Mulvey, J. M., & Vladimirou, H. (1992). Stochastic network programming for financial planning problems. Management science, 38(11), 1642-1664.
Mulvey, J. M., Vanderbei, R. J., & Zenios, S. A. (1995). Robust optimization of large-scale systems. Operations research, 43(2), 264-281.
Pavlou, A., Doumpos, M., & Zopounidis, C. (2018). The robustness of portfolio efficient frontiers: A comparative analysis of bi-objective and multi-objective approaches. Management Decision, 57(2), 300-313.
Şakar, C. T., & Köksalan, M. (2013). A stochastic programming approach to multicriteria portfolio optimization. Journal of Global Optimization, 57(2), 299-314.
Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management science, 9(2), 277-293.
Siskos, Y., Spyridakos, A., & Yannacopoulos, D. (1999). Using artificial intelligence and visual techniques into prefer-ence disaggregation analysis: The MUDAS system. European Journal of Operational Research, 113(2), 281-299.
Thakur, G. S. M., Bhattacharyya, R., & Sarkar, S. (2018). Stock portfolio selection using Dempster–Shafer evidence theo-ry. Journal of King Saud University-Computer and Information Sciences, 30(2), 223-235.
Yunusoglu, M. G., & Selim, H. (2013). A fuzzy rule based expert system for stock evaluation and portfolio construction: An application to Istanbul Stock Exchange. Expert Systems with Applications, 40(3), 908-920.
Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support sys-tem for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398-409.