How to cite this paper
Raei, R & Jahromi, M. (2012). Portfolio optimization using a hybrid of fuzzy ANP, VIKOR and TOPSIS.Management Science Letters , 2(7), 2473-2484.
Refrences
Amiri, M., Shariatpanahi, M., & Banakar, M.H. (2010). Portfolio selection with The use of MCDM. Quarterly Journal of Securities Exchange.
Brigham, E.F., & Ehrhardt, M.C. (2007). Financial Management: Theory and Practice, by, 12th ed., Thomson South Western.
Tiryaki, F., Ahlatcioglu, B. (2009). Fuzzy portfolio selection using fuzzy analytic hierarchy process. Information Sciences, 179(1-2), 53-69.
Chang, D. Y. (1992). Extent analysis and synthetic decision, optimization techniques and applications, Singapore: World Scientific, 352.
Chang, D. Y. (1996). Applications of the extent analysis method on fuzzy AHP. European Journal of Operational Research, 95, 649–655.
Chang, C. H., Lin, J. J., Lin, J. H., & Chiang, M. C., (2010). Domestic open-end equity mutual fund performance evaluation using extended TOPSIS method with different distance approaches. Expert systems with applications, 37, 4642-4649.
Chen, C.T., & Hung, W.Z. (2009). A new decision-making method for stock portfolio selection based on computing with linguistic assessment. Journal of Applied Mathematics and Decision Sciences, ID 897024.
Ehrgott, M., Klamroth, K., & Schwehm, C. (2004). An MCDM approach to portfolio optimization. European Journal of Operational Research, 155(3), 752-770.
Ertu?rul, ?, & Karaka?o?lu, N. (2009). Performance evaluation of Turkish cement firms with fuzzy analytic hierarchy process and TOPSIS methods. Expert Systems with Applications, 36(10), 702-715.
Enea, M., & Piazza, T. (2004). Project selection by constrained fuzzy AHP. Fuzzy Optimization and Decision Making 3, 39–62.
Fama, E.F., French, K.R, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–466.
Lee, A.H.I., Chen, W-C., & Chang, C-J. (2008). A fuzzy AHP and BSC approach for evaluating performance of IT department in the manufacturing industry in Taiwan. Expert systems with application, 34, 96-107.
Lee, W.S., Huang, A.Y., Chang, Y.Y., & Cheng, C.M. (2011). Analysis of decision making factors for equity investment by DEMATEL and Analytic Network Process. Expert Systems with Applications, 38(7), 8375-8383.
Jones, C. (1998). Investment Analysis and Management. 6th ed., John Willey & Sons. Kahraman, C., Ruan, D., & Tolga, E. (2002). Capital budgeting techniques using discounted fuzzy versus probabilistic cash flows. Information Sciences, 142, 57–76.
Markowitz, H.M. (1952). Portfolio selection. Journal of Finance, 77–91.
Meziani, A.S. (2003). Assessing the effect of investment barriers on international capital flows using an expert-driven system. Multinational Business Review, 11(2), 49 - 74.
Ross, S., Westerfield, R., Jordan, B., & Roberts, G. (2002). Fundamental of Corporate Finance, 4th ed, McGraw-Hill.
Reilly, F. K, Brown, K. C., (2003). Investment Analysis and Portfolio Selection, 6th ed.
Reilly, F., & Norton, E. (2006). Investments. 7th ed., South Western Ohio, Thomson.
Saaty T.L. (1980). The Analytic Hierarchy Process. McGraw-Hill, New York.
Saaty T.L. (1996a). The Analytic Network Process. RWS Publications, Expert Choice, Inc.
Saaty, T.L. (1996b). Decision Making with Dependence and Feedback: The Analytic Network Process.RWS Publications, Pittsburgh, PA.
Brigham, E.F., & Ehrhardt, M.C. (2007). Financial Management: Theory and Practice, by, 12th ed., Thomson South Western.
Tiryaki, F., Ahlatcioglu, B. (2009). Fuzzy portfolio selection using fuzzy analytic hierarchy process. Information Sciences, 179(1-2), 53-69.
Chang, D. Y. (1992). Extent analysis and synthetic decision, optimization techniques and applications, Singapore: World Scientific, 352.
Chang, D. Y. (1996). Applications of the extent analysis method on fuzzy AHP. European Journal of Operational Research, 95, 649–655.
Chang, C. H., Lin, J. J., Lin, J. H., & Chiang, M. C., (2010). Domestic open-end equity mutual fund performance evaluation using extended TOPSIS method with different distance approaches. Expert systems with applications, 37, 4642-4649.
Chen, C.T., & Hung, W.Z. (2009). A new decision-making method for stock portfolio selection based on computing with linguistic assessment. Journal of Applied Mathematics and Decision Sciences, ID 897024.
Ehrgott, M., Klamroth, K., & Schwehm, C. (2004). An MCDM approach to portfolio optimization. European Journal of Operational Research, 155(3), 752-770.
Ertu?rul, ?, & Karaka?o?lu, N. (2009). Performance evaluation of Turkish cement firms with fuzzy analytic hierarchy process and TOPSIS methods. Expert Systems with Applications, 36(10), 702-715.
Enea, M., & Piazza, T. (2004). Project selection by constrained fuzzy AHP. Fuzzy Optimization and Decision Making 3, 39–62.
Fama, E.F., French, K.R, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–466.
Lee, A.H.I., Chen, W-C., & Chang, C-J. (2008). A fuzzy AHP and BSC approach for evaluating performance of IT department in the manufacturing industry in Taiwan. Expert systems with application, 34, 96-107.
Lee, W.S., Huang, A.Y., Chang, Y.Y., & Cheng, C.M. (2011). Analysis of decision making factors for equity investment by DEMATEL and Analytic Network Process. Expert Systems with Applications, 38(7), 8375-8383.
Jones, C. (1998). Investment Analysis and Management. 6th ed., John Willey & Sons. Kahraman, C., Ruan, D., & Tolga, E. (2002). Capital budgeting techniques using discounted fuzzy versus probabilistic cash flows. Information Sciences, 142, 57–76.
Markowitz, H.M. (1952). Portfolio selection. Journal of Finance, 77–91.
Meziani, A.S. (2003). Assessing the effect of investment barriers on international capital flows using an expert-driven system. Multinational Business Review, 11(2), 49 - 74.
Ross, S., Westerfield, R., Jordan, B., & Roberts, G. (2002). Fundamental of Corporate Finance, 4th ed, McGraw-Hill.
Reilly, F. K, Brown, K. C., (2003). Investment Analysis and Portfolio Selection, 6th ed.
Reilly, F., & Norton, E. (2006). Investments. 7th ed., South Western Ohio, Thomson.
Saaty T.L. (1980). The Analytic Hierarchy Process. McGraw-Hill, New York.
Saaty T.L. (1996a). The Analytic Network Process. RWS Publications, Expert Choice, Inc.
Saaty, T.L. (1996b). Decision Making with Dependence and Feedback: The Analytic Network Process.RWS Publications, Pittsburgh, PA.