Optimum portfolio selection using a hybrid genetic algorithm and analytic hierarchy process

2015 ◽  
Vol 32 (3) ◽  
pp. 379-394 ◽  
Author(s):  
Maghsoud Solimanpur ◽  
Gholamreza Mansourfar ◽  
Farzad Ghayour
Keyword(s):  
Genetic Algorithm ◽  
Decision Making ◽  
Analytic Hierarchy Process ◽  
Portfolio Selection ◽  
Efficient Frontier ◽  
Analytic Hierarchy ◽  
Content Type ◽  
Multi Objective ◽  
Fitness Functions ◽  
Hierarchy Process

Purpose – The purpose of this paper is to present a multi-objective model to the optimum portfolio selection using genetic algorithm and analytic hierarchy process (AHP). Portfolio selection is a multi-objective decision-making problem in financial management. Design/methodology/approach – The proposed approach solves the problem in two stages. In the first stage, the portfolio selection problem is formulated as a zero-one mathematical programming model to optimize two objectives, namely, return and risk. A genetic algorithm (GA) with multiple fitness functions called as Multiple Fitness Functions Genetic Algorithm is applied to solve the formulated model. The proposed GA results in several non-dominated portfolios being in the Pareto (efficient) frontier. A decision-making approach based on AHP is then used in the second stage to select the portfolio from among the solutions obtained by GA which satisfies a decision-maker’s interests at most. Findings – The proposed decision-making system enables an investor to find a portfolio which suits for his/her expectations at most. The main advantage of the proposed method is to provide prima-facie information about the optimal portfolios lying on the efficient frontier and thus helps investors to decide the appropriate investment alternatives. Originality/value – The value of the paper is due to its comprehensiveness in which seven criteria are taken into account in the selection of a portfolio including return, risk, beta ratio, liquidity ratio, reward to variability ratio, Treynor’s ratio and Jensen’s alpha.

On a Decision Making Method Based on Ideal Objective Method

2013 ◽  
Vol 347-350 ◽  
pp. 3186-3189
Author(s):  
Tian Wen Luo ◽  
Hai Feng Tan ◽  
Xiao Juan Wang ◽  
Xin Wei Bai
Keyword(s):  
Decision Making ◽  
Analytic Hierarchy Process ◽  
Solution Method ◽  
Ideal Solution ◽  
Objective Method ◽  
Analytic Hierarchy ◽  
Multi Objective ◽  
Hierarchy Process

By comparing several typical multi-objective decision-making methods, an ideal objective method is proposed, which combines Similarity to Ideal Solution Method and Analytic Hierarchy Process (AHP). After validation, this ideal objective method is both scientific and accurate in the process of target key decision.

scholarly journals إستعمال إسلوب تعدد الأهداف الأمثل وفقاً للتحليل النسبي مع تطبيق عملي

2020 ◽  
Vol 26 (122) ◽  
pp. 412-421
Author(s):  
Mohamed Naji Razooqee ◽  
Marwan Abdul Hameed Ashour
Keyword(s):  
Decision Making ◽  
Analytic Hierarchy Process ◽  
Composite Score ◽  
Multi Criteria Decision Making ◽  
Multi Objective Optimization ◽  
Analytic Hierarchy ◽  
Multi Objective ◽  
Hierarchy Process

يهدف البحث الى حل مشكلة إختيار المشروع المناسب من عدة مشاريع خدمية لمؤسسة الشهداء العراقية أو ترتيبها حسب الافضلية ضمن المعايير المستهدفة من قبل متخذ القرار، يتم  ذلك عن طريق إستعمال احدى الطرق الكمية في اتخاد القرارات متعددة الأهداف (Multi Criteria Decision  Making)  ((MCDM الا وهي طريقة التحسين متعدد الأهداف حسب التحليل النسبي (Multi Objective Optimization by Ratios Analysis) ((MOORA لقياس الدرجة المركبة (composite score) للأداء  الذي يحصل عليه كل بديل وأقصى فائدة تعود على الجهة المستفيدة وحسب المعايير واوزانها التي يتم حسابها عن طريق عملية التسلسل الهرمي التحليلي (Analytic Hierarchy Process) ((AHP ، اهم النتائج التي توصل اليها البحث وبالأعتماد على رأي الخبراء هي إختيار المشروع الثاني كأفضل بديل وعمل ترتيب (Ranking) حسب الأداء والدرجة المركبة التي حصل عليها كل بديل ، كما توصل الباحثون الى امكانية تطبيق النموذج لحل مختلف مشاكل (MCDM) وخاصة في الحالات التي تكون فيها المعايير متضاربة في مزيد من البحوث.

Supporting decision-making in service supplier selection using a hybrid fuzzy extended AHP approach

2017 ◽  
Vol 23 (1) ◽  
pp. 196-222 ◽  
Author(s):  
Giustina Secundo ◽  
Donato Magarielli ◽  
Emilio Esposito ◽  
Giuseppina Passiante
Keyword(s):  
Decision Making ◽  
Analytic Hierarchy Process ◽  
Fuzzy Set ◽  
Supplier Selection ◽  
Hybrid Approach ◽  
High Tech ◽  
Manufacturing Companies ◽  
Analytic Hierarchy ◽  
Content Type ◽  
Hierarchy Process

Purpose Service supplier selection is a multi-criteria decision-making (MCDM) problem assuming a strategic role for the competitiveness of high-tech manufacturing companies. Nevertheless, especially for service quality evaluation, there is little empirical evidence of the practical usefulness of MCDM methodologies. Aiming to cover this gap between theoretical approaches and empirical applications, the purpose of this paper is to propose a fuzzy extended analytic hierarchy process (FEAHP) approach for service supplier evaluation. Design/methodology/approach A hybrid approach which combines some of the strengths of the analytic hierarchy process (AHP) and of the fuzzy set theory is presented, as organized into five steps. A case study is used to evaluate the applicability in a real company context. Findings The usability of the approach is demonstrated in an aerospace company for solving the supplier selection problem of a business software whose applications are still in infancy: a Test Data Management System (TDMS). The illustrative application contains both “general” criteria to be used for other service supplier selection contexts as well as service-specific criteria related to software selection. Research limitations/implications Even if the application regards the selection of a software supplier, the methodology can be generically extended to other services’ selection in complex manufacturing industries through the personalization of some criteria. Practical implications Implications can be derived both for business managers involved into the decision-making process and for suppliers identifying the most promising features of software quality. Originality/value The originality consists in the combination into a hybrid approach of the strong points of the AHP with the fuzzy set; the inclusion of multiple perspectives of decision criteria for service supplier selection, basically the “software product” and “supplier” ones; a real empirical application to test and demonstrate the efficacy and the practical utility of the proposed approach.

Ranking criteria for selection of certification bodies for ISO 9001 through the Analytic Hierarchy Process (AHP)

2018 ◽  
Vol 35 (7) ◽  
pp. 1321-1342 ◽  
Author(s):  
Augusto Duarte Alvarenga ◽  
Eduardo Gomes Salgado ◽  
Glauco Henrique de Sousa Mendes
Keyword(s):  
Decision Making ◽  
Analytic Hierarchy Process ◽  
Quality Management System ◽  
Iso 9001 ◽  
Analytic Hierarchy ◽  
Content Type ◽  
Ranking Criteria ◽  
Hierarchy Process ◽  
Criteria For Selection ◽  
Selection Of

Purpose The purpose of this paper is to present a framework to assist the selection of certification bodies in the implementation of quality management system (QMS) based on ISO 9001 taking into account a set of criteria organized in a multi-level hierarchical form. To deal with this complexity, the multi-criteria decision-making method (MCDM) analytic hierarchy process (AHP) was used in this research. Design/methodology/approach The research was conducted in small and medium-sized companies certified to ISO 9001. The MCDM method AHP was used as a method for developing the model to support the selection of certification bodies. Findings This paper provides a framework for companies seeking to hire certification bodies, mainly for ISO 9001 certification, which help identify the companies that best fit the certification objectives. Additionally, a ranking of the main criteria to select certification bodies for ISO 9001 was obtained. Research limitations/implications The decision-making method was applied to Brazilian companies from different sectors. As the results can vary between regions and sectors, this is a limitation of the research. In addition, the number of ten respondents could be higher to increase the robustness of the results. Practical implications The model assists companies looking for certification, mainly ISO 9001, in the selection of certification bodies contributing in the search for deeper implementations of QMS. Originality/value This work has the originality of the application of a decision-making method in the final process of ISO 9001 certification, scarce in the literature. In addition, it defines weights for the criteria involved in the process of selecting certification bodies.

Online Advertisement Using Web Analytics Software

2020 ◽  
Vol 7 (2) ◽  
pp. 13-33 ◽  
Author(s):  
Manu Sharma ◽  
Sudhanshu Joshi
Keyword(s):  
Decision Making ◽  
Analytic Hierarchy Process ◽  
Online Advertising ◽  
Web Analytics ◽  
Analytic Hierarchy ◽  
Web Advertising ◽  
Multi Objective ◽  
Online Advertisement ◽  
Hierarchy Process ◽  
Pair Wise Comparison

This article describes a analytic-hierarchy-process (AHP) application to identify and evaluate the best online advertising analytics software. This technique is multi-criteria and used in this study by comparing the top four web advertising analytics software. AHP uses pair-wise comparison of matrices. There are six criteria identified for evaluation: Ad scheduling, ad targeting, creative banner rotation, features, performance, cost and for each criterion, a matrix of pair-wise comparison with web-analytics software i.e. Google analytics, Accenture Analytics, Funnel and, Moat Analytics were evaluated. AHP is an effective method for multi-objective decision-making, and optimization. Thus, it helps web advertisers to evaluate the existing web advertising analytics software for posting their web advertisements.

Portfolio selection with fuzzy synthetic evaluation and genetic algorithm

2017 ◽  
Vol 34 (7) ◽  
pp. 2422-2434 ◽  
Author(s):  
Hamid Nayebpur ◽  
Mohsen Nazem Bokaei
Keyword(s):  
Genetic Algorithm ◽  
Decision Making ◽  
Performance Evaluation ◽  
Portfolio Selection ◽  
Expert Knowledge ◽  
Fuzzy Synthetic Evaluation ◽  
Content Type ◽  
Multi Objective ◽  
Overall Performance ◽  
Synthetic Evaluation

Purpose The purpose of this paper is to present a new technique to portfolio selection using a genetic algorithm (GA) and fuzzy synthetic evaluation (FSE). Portfolio selection is a multi-objective/criteria decision-making problem in financial management. Design/methodology/approach The proposed approach solves the problem in two stages. In the first stage, by using a GA and FSE, the weight of criteria will be calculated. Euclidean distance between the computed overall performance evaluation and the surveyed overall performance evaluation is used to determine the weight of criteria. In the second stage, by using a GA and FSE, portfolios will be prioritized. A multi-objective GA is used to determine return and risk in the efficient frontier. A decision making approach is based on FSE to select the best portfolio from among the solutions obtained by a multi objective GA. Findings The main advantage of the proposed approach is to help an investor to find a portfolio which has best performance, and portfolio selection does not rely on expert knowledge. Originality/value The value of the paper is in it using a new approach to determine the weight of criteria and portfolio selection. It surveys firms’ performance in the stock market, based on which the weight of criteria will be determined and portfolios will be prioritized.

scholarly journals Augmented reality goggles selection by using neutrosophic MULTIMOORA method

2018 ◽  
Vol 31 (4) ◽  
pp. 565-576 ◽  
Author(s):  
Serhat Aydin
Keyword(s):  
Decision Making ◽  
Augmented Reality ◽  
Design Methodology ◽  
Objective Method ◽  
Analytic Hierarchy ◽  
Content Type ◽  
Multi Objective ◽  
First Time ◽  
Hierarchy Process ◽  
Multimoora Method

PurposeThe purpose of this paper is to present the augmented reality (AR) eyeglass selection problem based on Neutrosophic MULTIMOORA method which is a very new multi-objective method.Design/methodology/approachThe author evaluates five AR goggles according to six different criteria. Criteria have different weights and determined by analytic hierarchy process. The author used neutrosophic MULTIMOORA method in order to evaluate AR eyeglasses.FindingsFive different AR eyeglasses were evaluated and the best one was selected according to six different criteria (benefit and non-benefit). According to Neutrosophic MULTIMOORA method, Sony AR eyeglass is selected as the best one. Neutrosophic MULTIMOORA method uses simple computational equations and it handles multi-objective decision making problems effectively.Originality/valueEvaluating AR goggles by using the Neutrosophic MULTIMOORA method for the first time is the originality of this paper.

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