메뉴 건너뛰기




Volumn 21, Issue 2, 2009, Pages 149-166

A hybrid GRA/MV model for the automatic selection of investment portfolios with minimum risk and maximum return

Author keywords

GM( i,i) prediction model; GRA; MV model; MVAR model; Rough set

Indexed keywords


EID: 77952717578     PISSN: 09573720     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (8)

References (28)
  • 1
    • 0001676735 scopus 로고
    • Semivariance and stochastic dominance: A comparison
    • Porter, R.B. (1974). Semivariance and stochastic dominance: a comparison, American Economic Review. 64, 200-204.
    • (1974) American Economic Review. , vol.64 , pp. 200-204
    • Porter, R.B.1
  • 3
    • 0037954570 scopus 로고    scopus 로고
    • A spatial mean-variance MIP model for energy market risk analysis
    • Zuwei Yu (2003). A spatial mean-variance MIP model for energy market risk analysis, Energy Economics, 25, 255-268.
    • (2003) Energy Economics , vol.25 , pp. 255-268
    • Yu, Z.1
  • 4
    • 0001829246 scopus 로고
    • Introduction to grey system theory
    • Deng Julong ( 1989). Introduction to grey system theory. The Journal of Grey System, 1,1 -24.
    • (1989) Journal of Grey System , vol.1 , pp. 1-24
    • Deng, J.1
  • 5
    • 0002583763 scopus 로고    scopus 로고
    • Grey relational analysis of correlation of errors in measurement
    • Z. Wang, L. Zhu, J.H. Wu (1996). Grey relational analysis of correlation of errors in measurement The Journal of Grey System, 8, 73-78.
    • (1996) The Journal of Grey System , vol.8 , pp. 73-78
    • Wang, Z.1    Zhu, L.2    Wu, J.H.3
  • 6
    • 0002482401 scopus 로고    scopus 로고
    • The grey relational analysis of the dielectric constant and others
    • F. Zhu, M. Yi, L. Ma, J. Du (1996). The grey relational analysis of the dielectric constant and others. The Journal of Grey System, 8, 287-290.
    • (1996) Journal of Grey System , vol.8 , pp. 287-290
    • Zhu, F.1    Yi, M.2    Ma, L.3    Du, J.4
  • 7
    • 0002668610 scopus 로고    scopus 로고
    • Grey relational analysis factors in hypertensive with cardiac insufficiency
    • X. Tan, Y. Yang, J. Deng (1998). Grey relational analysis factors in hypertensive with cardiac insufficiency, The Journal of Grey System, 10, 75-80.
    • (1998) Journal of Grey System , vol.10 , pp. 75-80
    • Tan, X.1    Yang, Y.2    Deng, J.3
  • 8
    • 0000476281 scopus 로고    scopus 로고
    • Optimization of the multi-response process by the Taguchi method with grey relational analysis
    • J. L. Lin, Y.S. Tamg (1998). Optimization of the multi-response process by the Taguchi method with grey relational analysis, The Journal of Grey System, 4, 355-370.
    • (1998) Journal of Grey System , vol.4 , pp. 355-370
    • Lin, J.L.1    Tamg, Y.S.2
  • 9
    • 34548663331 scopus 로고    scopus 로고
    • A novel conflict reassignment method based on grey relational analysis (GRA)
    • Guoping Xu, Weifeng Tian, Li Quan, Xiangfen Zhang (2007). A novel conflict reassignment method based on grey relational analysis (GRA), Pattern Recognition Letters, 28, 208-02087.
    • (2007) Pattern Recognition Letters , vol.28 , pp. 208-02087
    • Xu, G.1    Tian, W.2    Quan, L.3    Zhang, X.4
  • 10
    • 0003068418 scopus 로고    scopus 로고
    • An alternative form for grey relational grades
    • J.H. Wu, C.B. Chen (1999). An alternative form for grey relational grades, The Journal of Grey System, 11, 7-12.
    • (1999) Journal of Grey System , vol.11 , pp. 7-12
    • Wu, J.H.1    Chen, C.B.2
  • 11
    • 33947501349 scopus 로고    scopus 로고
    • Applying grey relational analysis and grey decision-making to evaluate the relationship between company attributes and its financial performance-A case study of venture capital enterprises in Taiwan
    • Channg-Yung Kung, Kui-Li Wen (2007). Applying grey relational analysis and grey decision-making to evaluate the relationship between company attributes and its financial performance-A case study of venture capital enterprises in Taiwan, Decision Support System, 43, 842-852.
    • (2007) Decision Support System , vol.43 , pp. 842-852
    • Kung, C.-Y.1    Wen, K.-L.2
  • 12
    • 29944442372 scopus 로고    scopus 로고
    • Application of grey-ruzzy logic on the optimal process design of an injection-modeled part with a thin se\hell feature
    • Ko-Ta Chiang. Fu-Ping Chang (2006). Application of grey-ruzzy logic on the optimal process design of an injection-modeled part with a thin se\hell feature. International Communications in Heat and Mass Transfer, 33, 94-101.
    • (2006) International Communications in Heat and Mass Transfer , vol.33 , pp. 94-101
    • Chiang, K.-T.1    Chang, F.-P.2
  • 13
    • 34249063360 scopus 로고    scopus 로고
    • Consumer-oriented product form design based on fuzzy logic: A case study of mobile phones
    • Yang-Cheng Lina, Hsin-His Laib, Chung-Hsing Yeh (2007). Consumer-oriented product form design based on fuzzy logic: A case study of mobile phones, International Journal of Industrial Ergonomics, 37, 531-543.
    • (2007) International Journal of Industrial Ergonomics , vol.37 , pp. 531-543
    • Lina, Y.-C.1    Laib, H.-H.2    Yeh, C.-H.3
  • 14
    • 13844312267 scopus 로고    scopus 로고
    • A new grey relational measurement
    • C.C. Wong, H.R. Lai (2000). A new grey relational measurement The Journal of Grey System, 12, 341-346.
    • (2000) Journal of Grey System , vol.12 , pp. 341-346
    • Wong, C.C.1    Lai, H.R.2
  • 16
    • 33846622791 scopus 로고    scopus 로고
    • Grey relational analysis and radial basis function network for determining costs in learning sequences
    • HU Yi-Chung (2007). Grey relational analysis and radial basis function network for determining costs in learning sequences, Applied Mathematics and Computation, 184, 291-299.
    • (2007) Applied Mathematics and Computation , vol.184 , pp. 291-299
    • Yi-Chung, H.U.1
  • 18
    • 77950914822 scopus 로고    scopus 로고
    • A novel approach to enhance the classification performances of grey relational analysis
    • Kuang Yu Hhuang, Chuen-Jiuan Jane, Ting-Cheng Chang (2008). A novel approach to enhance the classification performances of grey relational analysis, Journal of Information & Optimization Sciences, 29, 1169-1191.
    • (2008) Journal of Information & Optimization Sciences , vol.29 , pp. 1169-1191
    • Kuang, Y.H.1    Jane, C.-J.2    Chang, T.-C.3
  • 20
    • 0043234660 scopus 로고    scopus 로고
    • Variable precision rough set theory and data discretisation: An application to corporate failure prediction
    • DOI 10.1016/S0305-0483(01)00045-7, PII S0305048301000457
    • Beynon M. Peel MJ (2001). Variable precision rough set theory and data discretisation: an application to corporate failure prediction, Omega-International Journal of Management Science, 29, 561-576 (Pubitemid 33628771)
    • (2001) Omega , vol.29 , Issue.6 , pp. 561-576
    • Beynon, M.J.1    Peel, M.J.2
  • 21
    • 2042476687 scopus 로고    scopus 로고
    • Mining classification rules using rough sets and neural networks
    • Li, R. & Wang, Z.-O (2004). Mining classification rules using rough sets and neural networks, European Journal of Operational Research, 157, 439-448.
    • (2004) European Journal of Operational Research , vol.157 , pp. 439-448
    • Li, R.1    Wang, Z.-O.2
  • 22
    • 67349111441 scopus 로고    scopus 로고
    • Portfolio selection of electron sector stock based on rough set and grey theory
    • Kuang-Yu Huang and Chuen-Jiuan Jane (2007). Portfolio selection of electron sector stock based on rough set and grey theory. Journal of Grey System, 10, 183-192.
    • (2007) Journal of Grey System , vol.10 , pp. 183-192
    • Huang, K.-Y.1    Jane, C.-J.2
  • 23
    • 33947647535 scopus 로고    scopus 로고
    • Multi-criteria classification-A new scheme for application of dominance-based decision rules
    • Jerzy B aszczyriski. Salvatore Greco, roman Slowirtski (2007). Multi-criteria classification-A new scheme for application of dominance-based decision rules, European Journal of Operational Research, 181, 1030-1044.
    • (2007) European Journal of Operational Research , vol.181 , pp. 1030-1044
    • Aszczyriski, J.B.1    Greco, S.2    Slowirtski, R.3
  • 24
    • 0037213698 scopus 로고    scopus 로고
    • Mining stock price using fuzzy rou7gh set system
    • Yi-Fan Wang (2003). Mining stock price using fuzzy rou7gh set system. Expert Systems with Applications, 24, 13-23.
    • (2003) Expert Systems with Applications , vol.24 , pp. 13-23
    • Wang, Y.-F.1
  • 25
    • 2442680635 scopus 로고    scopus 로고
    • Applying rough sets to market timing decisions
    • Lixiang Shen, Han Tong Loh (2004). Applying rough sets to market timing decisions. Decision Support Systems, 37, 583-597.
    • (2004) Decision Support Systems , vol.37 , pp. 583-597
    • Shen, L.1    Loh, H.T.2
  • 26
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz H (1952). Portfolio selection. Journal of Finance, 7. 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markowitz, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.