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1.

Uncertain portfolio optimization based on Dempster-Shafer theory Pages 207-214 Right click to download the paper Download PDF

Authors: Amirhossein Skoruchi, Emran Mohammadi

DOI: 10.5267/j.msl.2022.1.001

Keywords: Portfolio Optimization, Dempster–Shafer Theory, Currency Fluctuations

Abstract:
Nowadays, the selection and management of the optimal portfolio are the most primary fields of financial decision-making. Thereby, selecting a portfolio capable of providing the highest efficiency and, at the same time, the lowest investment risk has been turned into one of the most critical concerns among financial activists. However, in this selection, the two factors above are not the only determining ones. Various factors are affecting financial markets' behavior under different possible scenarios, which should be identified. In this paper, we examine the high sensitivity of the Iranian capital market to the exchange rate fluctuations in the different scenarios due to the lack of a unified view of the value of that rate among experts as one of the mentioned factors and obtain its value using Dempster–Shafer theory (DST). Then, a portfolio selection model that prefers stocks with higher ranks is proposed. Representative results of the real-life case study reveal that the submitted approach is productive and practically applicable.
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Journal: MSL | Year: 2022 | Volume: 12 | Issue: 3 | Views: 1950 | Reviews: 0

 

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