Behavioral optimization models for multicriteria portfolio selection

In this paper, behavioral construct of suitability is used to develop a multicriteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria decision making method is used to obtain the financial quality score of each asset based upon investor's rating on the financial criteria. Two optimization models are developed for optimal asset allocation considering simultaneously financial and suitability criteria. An empirical study is conducted on randomly selected assets from National Stock Exchange, Mumbai, India to demonstrate the effectiveness of the proposed methodology

Integrated grey relational analysis and multi objective grey linear programming for sustainable electricity generation planning

Sustainable energy generation is a key feature in sustainable development and among various sources of energy electricity due to some unique characteristics seems particularly important. Optimising electricity generation mix is a highly complex task and requires consideration of numerous conflicting criteria. To deal with uncertainty of experts’ opinions, inaccuracy of the available data and including more factors, some of which are difficult to quantify, in particular for environmental and social criteria, we applied grey relational analysis (GRA) with grey linguistic, and grey interval values to obtain the rank of each system. Then the obtained ranking were used as coefficients for a multi objective decision making problem, aimed to minimize the cost, import dependencies and emissions as well as maximizing the share of generation sources with better ranking. Due to existence of interval variables multi objective grey linear programming (MOGLP) method was used to solve the problem. Our results for the UK as a case study suggest increased role for all low carbon energy technologies and sharp reduction in the use of coal and oil. We argue that the integrated GRA–MOGLP approach provides an effective tool for the evaluation and optimisation of complex sustainable electricity generation planning. It is particularly promising in dealing with uncertainty and imprecisions, which reflect real-life scenarios in planning processes

An optimisation model for sustainable multi-commodity transportation planning

This paper aims to establish a supply chain model that significantly reduces economic and environmental costs. It comprises all activities related to procurement, production, and distribution planning. The proposed multi-objective multi-commodity optimisation model deals with the four conflicting objectives of reducing costs and emissions and choosing top-priority suppliers and the most efficient vehicles. We apply an integrated AHP (analytic hierarchy process) and TOPSIS (technique for order preference by similarity to an ideal solution) technique to determine the weights of suppliers, depending on three indices of criteria, alternatives, and raw material. This paper proposes a cross-efficiency evaluation method using data envelopment analysis (DEA) to ensure that the cross-evaluation of different types of vehicles for evaluating peers is as consistent as possible. The mutually contradictory objectives give rise to several Pareto-optimal solutions. The optimal compromise solutions are found using a lexicographic goal programming technique. We present a real-world case to demonstrate the effectiveness of the proposed methodology, followed by numerical comparisons and additional insights

Fuzzy portfolio optimization: advances in hybrid multi-criteria methodologies

This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean–variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.

Complexity Reduction for Solving a Pure Integer Program by the Branch and Bound Method Using Gomory Constraints

This paper deals with improving complexity of the branch and bound method for solving a pure integer program. This improvement is achieved by formulating a characteristic pure integer program from all the Gomory constraints arising from the relaxed LP solution of the given problem. The number of sub-problems required in the branch and bound method reduce significantly

Multi-attribute group decision-making for solid waste management using interval-valued

In this paper, the COPRAS (Complex Proportional Assessment) method is extended for interval-valued q-rung orthopair fuzzy numbers (IVq-ROFNs) to solve multi-attribute group decision-making (MAGDM) problems. A novel distance measure for IVq-ROFNs is proposed, and its properties are also probed. This distance measure is used in an improved weights determination method for decision-makers. A weighted projection optimization model is developed to evaluate the completely unknown attributes’ weights. The projection of assessment values is defined by the positive and negative ideal solutions, which determine the resemblance between two objects by considering their directional angle. An Indian cities’ ranking problem for a better solid waste management infrastructure is solved using the proposed approach based on composite indicators, like recycling waste, greenhouse gas emissions, waste generation, landfilling waste, recycling rate, waste-to-energy rate, and composting waste. Numerical comparisons, sensitivity analysis, and other relevant analyses are performed for validation

Fuzzy Portfolio OptimizationAdvances in Hybrid Multi-criteria Methodologies /

XVI, 320 p. 56 illus., 2 illus. in color.online r