Stock Portfolio Selection Using Dempster-Shafer Evidence Theory

Subject Areas : Journal of Investment Knowledge

Shaban Mohammadi ¹ , Nader Naghshbandi ² , Hadi Saeidi ³

1 - MSc. Department of Accounting- Hakim Nezami institution of higher education at Quchan , Iran
2 - Associate profesor of Accounting, Hakim Nezami institution of higher education at Quchan, Iran
3 - Assistant profesor of Department of Accounting, Shirvan Branch , Islamic Azad University, Shirvan, Iran

Received: 2018-02-07 Accepted : 2018-04-09 Published : 2019-12-22

Keywords: stock portfolio selection, Ranking, Dempster-Schaeffer theory, ant colony optimization, fuzzy Delphi Method,

Abstract :

Markovitz's risk-taking model is to select stocks based on historical asset data. In addition to the impact of historical returns, there are many other critical factors that directly or indirectly affect the stock market. The present study first uses the Fuzzy Delphi method to identify critical factors and ultimately considers factors with low correlation coefficients. Critical factors and historical data were used to adapt Dempestor-Schafer evidence theory for stock rankings. Then, in the sampling model, stocks with a higher rank are proposed. Sampling was carried out using stock held on Tehran Stock Exchange and simulated by optimization of colonization of ant. The performance of the results is satisfactory in comparison with the recent performance of assets.

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