A Hybrid DEA Based CHAID and Imperialist Competitive Algorithm for Stock Selection
Subject Areas : International Journal of Industrial Mathematics
1 - Department of Industrial Management, Semnan Branch, Islamic Azad University, Semnan,Iran.
Keywords: DEA Based CHAID, Stock Selection, data mining, Imperialist Competitive Algorithm, Classification,
Abstract :
In this paper, the investment portfolio is formed based on the data mining algorithm of CHAID on the basis of the risk status criteria. In the next step, the second investment portfolio is created based on the decision rules extracted by the DEA-BCC model. The final portfolio is created through a two-objective mathematical programming model based on the Imperialist Competitive algorithm.
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