Application of Optimistic and Pessimistic OWA and DEA Methods in Stock Selection
作者： Gholam R. Amin , Mohaddeseh Hajjami
DOI: 10.1002/INT.21824
关键词:
摘要: One of the main objectives fund managers in financial service industry is to select superior stocks by analyzing ratios. This paper proposes a novel methodology for stock selection integrating optimistic and pessimistic ordered weighted averaging OWA data envelopment analysis DEA methods. The first reveals drawback using standard models evaluation then new method operator. Unlike classical DEA, proposed this does not involve specification inputs outputs. incorporates scenarios generates interval scores all stocks. followed appropriate selecting applied identify high performance Tehran market.
acm.org
sci-hub.se 参考文章(27)
Kao-Yi Shen, Gwo-Hshiung Tzeng, Combined soft computing model for value stock selection based on fundamental analysis soft computing. ,vol. 37, pp. 142- 155 ,(2015) , 10.1016/J.ASOC.2015.07.030
Sungmook Lim, Kwang Wuk Oh, Joe Zhu, Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market European Journal of Operational Research. ,vol. 236, pp. 361- 368 ,(2014) , 10.1016/J.EJOR.2013.12.002
Xinwang Liu, Models to determine parameterized ordered weighted averaging operators using optimization criteria Information Sciences. ,vol. 190, pp. 27- 55 ,(2012) , 10.1016/J.INS.2011.12.007
Gholam R. Amin, Ali Emrouznejad, An extended minimax disparity to determine the OWA operator weights Computers & Industrial Engineering. ,vol. 50, pp. 312- 316 ,(2006) , 10.1016/J.CIE.2006.06.006
Ying-Ming Wang, Ying Luo, Zhongsheng Hua, None, Aggregating preference rankings using OWA operator weights Information Sciences. ,vol. 177, pp. 3356- 3363 ,(2007) , 10.1016/J.INS.2007.01.008
Joe Zhu, Imprecise data envelopment analysis (IDEA): A review and improvement with an application European Journal of Operational Research. ,vol. 144, pp. 513- 529 ,(2003) , 10.1016/S0377-2217(01)00392-7
Robert Fullér, Péter Majlender, On obtaining minimal variability OWA operator weights Fuzzy Sets and Systems. ,vol. 136, pp. 203- 215 ,(2003) , 10.1016/S0165-0114(02)00267-1
Ali Emrouznejad, Gholam R. Amin, Improving minimax disparity model to determine the OWA operator weights Information Sciences. ,vol. 180, pp. 1477- 1485 ,(2010) , 10.1016/J.INS.2009.11.043
Ronald R. Yager, Naif Alajlan, On characterizing features of OWA aggregation operators Fuzzy Optimization and Decision Making. ,vol. 13, pp. 1- 32 ,(2014) , 10.1007/S10700-013-9167-8
R.R. Yager, On ordered weighted averaging aggregation operators in multicriteria decisionmaking systems man and cybernetics. ,vol. 18, pp. 183- 190 ,(1988) , 10.1109/21.87068