Stock screening with use of factor analysis and fuzzy multiple criteria decision making

International Journal of Procurement Management

Volumn 4, Issue 1, 2011, Pages 87-107

  Tahoori, Malek ^a   Fazli, Safar ^a   Kiani Mavi, Reza ^b  

^a IMAM KHOMEINI INTERNATIONAL UNIVERSITY   (Iran)

^b ISLAMIC AZAD UNIVERSITY   (Iran)

Author keywords

Analytical hierarchy process; Factor analysis; Multiple criteria decision making; Stock screening

Indexed keywords

EID: 84878805844     PISSN: 17538432     EISSN: 17538440     Source Type: Journal    
DOI: 10.1504/IJPM.2011.037387     Document Type: Article

References (27)

1. Anderson, J.A. (1998) 'Screening for investment gold', Black Enterprise, Vol. 29, pp.93-97.
2. Ballestero, E., Gunther, M., Santamaria, D. and Stummer, C. (2007) 'Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the Frankfort and Vienna Stock Exchange', European Journal of Operational Research, Vol. 181, pp.1476-1487. (Pubitemid 46498540)
3. Chang, D.Y. (1992) Extent Analysis and Synthetic Decision, Optimization Techniques and Applications, Vol. 1, p.352.
4. Chang, D.Y. (1996) 'Applications of the extent analysis method on fuzzy AHP', European Journal of Operational Research, Vol. 95 No. 3, pp.649-655.
5. Chen, Y., Kilgour, D. and Chen Y. (2008) 'A case-based distance method for screening in multiple-criteria decision aid', Omega, Vol. 36, pp.373-383.
6. Crimmon, K.R. (1973) 'An overview of multiple objective decision making', in Cochrance, J.L. and Zeleny, M. (Eds.): Multiple Criteria Decision Making, pp.18-44, University of South Carolina Press, Columbia.
7. Ehrgott, M., Klamorth, K. and Schwehm, S.C. (2004) 'An MCDM approach to portfolio optimization', European Journal of Operational Research, Vol. 155, pp.752-770.
8. Gold, S.C. and Lebowitz, P. (1999) 'Computerized stock screening rules for portfolio selection', Financial Services Review, Vol. 8, pp.61-70.
9. Hobbs, B.F. and Meier, P. (2000) Energy Decisions and the Environment: a Guide to the Use of Multicriteria Methods, Kluwer, Massachusetts.
10. Huang, X. (2008) 'Portfolio selection with a new definition of risk', European Journal of Operational Research, Vol. 186, pp.351-357. (Pubitemid 47600525)
11. Huang, Y.K. (2009) 'Application of VPRS model with enhanced threshold parameter selection mechanism to automatic stock market forecasting and portfolio selection', Expert Systems with Applications, Vol. 36, pp.11652-11661.
12. Huang, Y.K. and Jane, C.J. (2009) 'A hybrid model for stock market forecasting and portfolio selection based on ARX, grey system and RS theories', Expert Systems with Applications, Vol. 36, pp.5387-5392.
13. Insua, R.D. and French, S. (1991) 'A framework for sensitivity analysis in discrete multi-objective decision making', European Journal of Operational Research, Vol. 54, pp.176-190. (Pubitemid 21729724)
14. Kilgour, D.M., Rajabi, S., Hipel, K.W. and Chen, Y. (2004) 'Screening alternatives in multiple criteria subset selection', INFOR, Vol. 42, pp.43-60.
15. Ocal, E., Oral, E., Erids, E. and Vural, G. (2007) 'Industry financial ratios - application of factor analysis in Turkish construction industry', Building and Environment, Vol. 42, pp.385-392. (Pubitemid 44458209)
16. Quah, T.S. (2008) 'DJIA stock selection assisted by neural network', Expert Systems with Applications, Vol. 35, pp.50-58.
17. Roy B. (1996) Multicriteria Methodology for Decision Aiding, Kluwer, Dordrecht.
18. Salmi, T., Virtanen, I. and Yli-Olli, P. (1990) 'On the classification on financial ratios. A factor and transformation analysis of accrual, cash flow and market-based ratios', available at www.uwasa.fi/∼∼ts/sera/sera.html.
19. Sevastjanov, P. and Ludmila, D. (2009) 'Stock screening with the use of multiple criteria decision making and optimization', Omega, Vol. 37, pp.659-671.
20. Slowinski, R. (1992) Intelligent Decision Support, Handbook of Application and Advances of Rough Set Theory, Kluwer, Dordrecht.
21. Steuer, R.E. (1986) Multiple Criteria Optimization: Theory, Computation and Application, Wiley, New York.
22. Stewart, T. (1996) 'Relationships between data envelopment analysis and multicriteria decision analysis', Journal of the Operational Research Society, Vol. 47, pp.654-665. (Pubitemid 126590743)
23. Tyryaki, F. and Ahlatcioglu, M. (2005) 'Fuzzy stock selection using a new fuzzy ranking and weighting algorithm', Applied Mathematics and Computation, Vol. 170, pp.144-157. (Pubitemid 41454802)
24. Vincke, Ph. (1992) Multicriteria Decision-Aid, Wiley, New York.
25. Wang, Y. and Lee, H.S. (2008) 'A clustering method to identify representative financial ratios', Information Sciences, Vol. 178, pp.1087-1097. (Pubitemid 350180893)
26. Xidonas, P., Ergazakis, E., Ergazakis, K., Metaxiotis, K. et al. (2009) 'On the selection of equity securities: an expert systems methodology and an application on the Athens Stock Exchange', Expert Systems with Applications, Vol. 36, pp.11966-11980.
27. Zhu, K.J., Jing, Y. and Chang, D.Y. (1999) 'A discussion on extent analysis method and applications of fuzzy AHP', European Journal of Operational Research, Vol. 116 No. 2, pp.450-456.