A Hybrid Model for Choosing the Optimal Stock Portfolio under Intuitionistic Fuzzy Sets

[1] G. R. Amin, M. Hajjami, Improving DEA cross-efficiency optimization in portfolio selection, Expert Systems with
Applications, 168 (2021), 114280. https://doi.org/10.1016/j.eswa.2020.114280

[2] K. Atanassov, Intuitionistic fuzzy sets, International Journal of Bioautomation, 20 (2016), 1. http://dx.doi.org/
10.1016/S0165-0114(86)80034-3

[3] N. K. Avkiran, A. McCrystal, Sensitivity analysis of network DEA: NSBM versus NRAM, Applied Mathematics
and Computation, 218(22) (2012), 11226-11239. https://doi.org/10.1016/j.amc.2012.05.014

[4] R. Bagheri, Z. Borouji, S. B. Razavian, M. M. Keshvari, F. Sharifi, S. Sharifi, Implementation of MCDM-based
integrated approach to identifying the uncertainty factors on the constructional project, Mathematical Problems in
Engineering, 2021 (2021), 1-12. https://doi.org/10.1155/2021/1473917

[5] T. T. Bjerring, O. Ross, A. Weissensteiner, Feature selection for portfolio optimization, Annals of Operations Research,
256 (2017), 21-40.https://doi.org/10.1007/s10479-016-2155-y

[6] C. Carlsson, R. Full´er, M. Heikkil¨a, P. Majlender, A fuzzy approach to R&D project portfolio selection, International
Journal of Approximate Reasoning, 44(2) (2007), 93-105. https://doi.org/10.1016/j.ijar.2006.07.003

[7] C. Carlsson, R. Full´er, P. Majlender, A possibilistic approach to selecting portfolios with highest utility score, Fuzzy
Sets and Systems, 131(1) (2002), 13-21. https://doi.org/10.1016/S0165-0114(01)00251-2

[8] F. Cesarone, A. Scozzari, F. Tardella, An optimization-diversification approach to portfolio selection, Journal of
Global Optimization, 76(2) (2020), 245-265. https://doi.org/10.1007/s10898-019-00809-7

[9] T. J. Chang, N. Meade, J. E. Beasley, Y. M. Sharaiha, Heuristics for cardinality constrained portfolio optimisation,
Computers and Operations Research, 27(13) (2000), 1271-1302. https://doi.org/10.1016/S0305-0548(99)
00074-X

[10] T. S. Chang, K. Tone, C. H. Wu, Nested dynamic network data envelopment analysis models with infinitely many
decision making units for portfolio evaluation, European Journal of Operational Research, 291(2) (2021), 766-781.
https://doi.org/10.1016/j.ejor.2020.09.044

[11] T. J. Chang, S. C. Yang, K. J. Chang, Portfolio optimization problems in different risk measures using genetic algorithm,
Expert Systems with Applications, 36(7) (2009), 10529-10537. https://doi.org/10.1016/j.eswa.2009.
02.062

[12] A. Charnes, W. W. Cooper, E. Rhodes, Measuring the efficiency of decision making units, European Journal of
Operational Research, 2(6) (1978), 429-444. https://doi.org/10.1016/0377-2217(78)90138-8

[13] W. Chen, S. S. Li, J. Zhang, M. K. Mehlawat, A comprehensive model for fuzzy multi-objective portfolio selection
based on DEA cross-efficiency model, Soft Computing, 24 (2020), 2515-2526. https://doi.org/10.1007/
s00500-018-3595-x

[14] B. Chen, J. D. Zhong, Y. Y. Chen, A hybrid approach for portfolio selection with higher-order moments: Empirical
evidence from Shanghai stock exchange, Expert Systems with Applications, 145 (2020), 113104. https://doi.org/
10.1016/j.eswa.2019.113104

[15] W. W. Cooper, K. S. Park, J. T. Pastor, RAM: A range adjusted measure of inefficiency for use with additive
models, and relations to other models and measures in DEA, Journal of Productivity Analysis, 11 (1999), 5-42.
https://doi.org/10.1023/A:1007701304281

[16] O. V. De la Torre-Torres, E. Galeana-Figueroa, M. Cruz Del R´ıo-Rama, J. ´Alvarez-Garc´ıa, Using Markov-switching
models in US stocks optimal portfolio selection in a Black-Litterman context (part 1), Mathematics, 10(8) (2022),
1296. https://doi.org/10.3390/math10081296

[17] S. A. Edalatpanah, A data envelopment analysis model with triangular intuitionistic fuzzy numbers, International
Journal of Data Envelopment Analysis, 7(4) (2019). https://doi.org/10.1049/trit.2020.0016

[18] N. Edirisinghe, P. Chanaka, X. Zhang, Portfolio selection under DEA-based relative financial strength indicators:
Case of US industries, Journal of the Operational Research Society, 59 (2008), 842-856. https://doi.org/10.
1057/palgrave.jors.2602442

[19] R. F¨are, S. Grosskopf, Modeling undesirable factors in efficiency evaluation: Comment, European Journal of
Operational Research, 157(1) (2004), 242-245. https://doi.org/10.1016/S0377-2217(03)00191-7

[20] M. Garc´ıa-Mel´on, R. Poveda-Bautista, Using the strategic relative alignment index for the selection of portfolio
projects application to a public Venezuelan power corporation, International Journal of Production Economics, 170
(2015), 54-66. https://doi.org/10.1016/j.ijpe.2015.08.023

[21] S. Giove, S. Funari, C. Nardelli, An interval portfolio selection problem based on regret function, European Journal
of Operational Research, 170(1) (2006), 253-264. https://doi.org/10.1016/j.ejor.2004.05.030

[22] J. P. G´omez, T. Sharma, Portfolio delegation under short-selling constraints, Economic Theory, 28 (2006), 173-196.
https://doi.org/10.1007/s00199-004-0615-0

[23] P. Grzegorzewski, Distances between intuitionistic fuzzy sets and/or interval-valued fuzzy sets based on the Hausdorff
metric, Fuzzy Sets and Systems, 148(2) (2024), 319-328. https://doi.org/10.1007/s00199-004-0615-0

[24] H. Guo, B. Sun, H. R. Karimi, Y. Ge, W. Jin, Fuzzy investment portfolio selection models based on interval analysis
approach, Mathematical Problems in Engineering, 2012 (2012). https://doi.org/10.1155/2012/628295

[25] X. Huang, H. Di, Uncertain portfolio selection with background risk, Applied Mathematics and Computation, 276
(2016), 284-296. https://doi.org/10.1016/j.amc.2015.12.018

[26] M. Khedmati, P. Azin, An online portfolio selection algorithm using clustering approaches and considering transaction costs, Expert Systems with Applications, 159 (2020), 113546. https://doi.org/10.1016/j.eswa.2020.
113546

[27] J. D. Lamb, K. H. Tee, Resampling DEA estimates of investment fund performance, European Journal of Operational
Research, 223(3) (2012), 834-841. https://doi.org/10.1016/j.ejor.2012.07.015

[28] T. Le´on, V. Liern, E. Vercher, Viability of infeasible portfolio selection problems: A fuzzy approach, European
Journal of Operational Research, 139(1) (2002), 178-189. https://doi.org/10.1016/S0377-2217(01)00175-8

[29] Y. Li, Q. Cui, Carbon neutral growth from 2020 strategy and airline environmental inefficiency: A network range
adjusted environmental data envelopment analysis, Applied Energy, 199 (2017), 13-24. https://doi.org/10.1016/
j.apenergy.2017.04.072

[30] Z. Mashayekhi, H. Omrani, An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy
returns for portfolio selection problem, Applied Soft Computing, 38 (2016), 1-9. https://doi.org/10.1142/
S0219622014500059

[31] M. K. Mehlawat, P. Gupta, Credibility-based fuzzy mathematical programming model for portfolio selection under
uncertainty, International Journal of Information Technology and Decision Making, 13(01) (2014), 101-135. https:
//doi.org/10.1142/S0219622014500059

[32] M. K. Mehlawat, A. Kumar, S. Yadav, W. Chen, Data envelopment analysis based fuzzy multi-objective portfolio
selection model involving higher moments, Information Sciences, 460 (2018), 128-150. https://doi.org/10.1016/
j.ins.2018.05.043

[33] S. Moslemi, A. Mirzazadeh, Performance evaluation of four-stage blood supply chain with feedback variables using
NDEA cross-efficiency and entropy measures under IER uncertainty, Numerical Algebra, Control and Optimization,
7(4) (2017), 379-401. https://doi.org/10.3934/naco.2017024

[34] M. Nourahmadi, H. Sadeqi, A machine learning-based hierarchical risk parity approach: A case study of portfolio
consisting of stocks of the top 30 companies on the Tehran stock exchange, Financial Research Journal, 24(2) (2022),
236-256. https://doi.org/10.22059/frj.2021.319092.1007146

[35] H. Omrani, Z. Mashayekhi, Multi objective portfolio selection by combining markowitz and dea cross efficiency models, Sharif Journal of Industrial Engineering and Management, 33(1.1) (2017), 87-94. https://doi.org/10. 24200/j65.2017.5578

[36] R. Pal, T. D. Chaudhuri, S. Mukhopadhyay, Portfolio formation and optimization with continuous realignment:
A suggested method for choosing the best portfolio of stocks using variable length NSGA-II, Expert Systems with
Applications, 186 (2021), 115732. https://doi.org/10.1016/j.eswa.2021.115732

[37] J. L. Pedersen, G. Peskir, Optimal mean-variance portfolio selection, Mathematics and Financial Economics, 11
(2017), 137-160. https://doi.org/10.1007/s11579-016-0174-8

[38] G. Peralta, A. Zareei, A network approach to portfolio selection, Journal of Empirical Finance, 38 (2016), 157-180.
https://doi.org/10.1016/j.jempfin.2016.06.003

[39] A. R. Pouya, M. Solimanpur, M. Jahangoshai Rezaee, Solving multi-objective portfolio optimization problem using
invasive weed optimization, Swarm and Evolutionary Computation, 28 (2016), 42-57. https://doi.org/10.1016/
j.swevo.2016.01.001

[40] J. Puri, S. Prasad Yadav, Intuitionistic fuzzy data envelopment analysis: An application to the banking sector in
India, Expert Systems with Applications, 42(11) (2015), 4982-4998. https://doi.org/10.1016/j.eswa.2015.02.
014

[41] M. Rasoulzadeh, S. A. Edalatpanah, M. Fallah, S. E. Najafi, A multi-objective approach based on Markowitz and
DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem, Decision Making: Applications
in Management and Engineering, 5(2) (2022), 241-259. https://doi.org/10.31181/dmame0324062022e

[42] A. M. Rather, V. N. Sastry, A. Agarwal, Stock market prediction and Portfolio selection models: A survey,
Opsearch, 54 (2017), 558-579. https://doi.org/10.1007/s12597-016-0289-y

[43] I. B. Salehpoor, S. Molla-Alizadeh-Zavardehi, A constrained portfolio selection model at considering risk-adjusted
measure by using hybrid meta-heuristic algorithms, Applied Soft Computing, 75 (2019), 233-253. https://doi.
org/10.1016/j.asoc.2018.11.011

[44] M. Shadabfar, L. Cheng, Probabilistic approach for optimal portfolio selection using a hybrid Monte Carlo simulation
and Markowitz model, Alexandria Engineering Journal, 59(5) (2020), 3381-3393. https://doi.org/10.1016/
j.aej.2020.05.006

[45] A. H. Tajik Yabr, S. E. Najafi, Z. Moghaddas, P. Shahnazari Shahrezaei, Interval cross efficiency measurement
for general two-stage systems, Mathematical Problems in Engineering, 2022 (2022). https://doi.org/10.1155/
2022/5431358

[46] B. Wang, Y. Li, S. Wang, J. Watada, A multi-objective portfolio selection model with fuzzy value-at-risk ratio,
IEEE Transactions on Fuzzy Systems, 26(6) (2018), 3673-3687. https://doi.org/10.1109/TFUZZ.2018.2842752

[47] S.Wang, S. Zhu, On fuzzy portfolio selection problems, Fuzzy Optimization and Decision Making, 1 (2002), 361-377.
https://doi.org/10.1023/A:1020907229361

[48] J. Watada, Fuzzy portfolio selection and its applications to decision making, Tatra Mountains Mathematical Publication, 13 (1997), 219-248. http://dx.doi.org/10.1007/978-3-7908-1817-8_7

[49] A. Yoshimoto, The mean-variance approach to portfolio optimization subject to transaction costs, Journal of the
Operations Research Society of Japan, 39(1) (1996), 99-117. https://doi.org/10.15807/jorsj.39.99

[50] X. Zhou, J. Wang, X. Yang, B. Lev, Y. Tu, S. Wang, Portfolio selection under different attitudes in fuzzy environment,
Information Sciences, 462 (2018), 278-289. https://doi.org/10.1016/j.ins.2018.06.013

[51] W. Zhou, Z. Xu, Portfolio selection and risk investment under the hesitant fuzzy environment, Knowledge-Based
Systems, 144 (2018), 21-31. https://doi.org/10.1016/j.knosys.2017.12.020