A robust optimization model for a decision-making problem : an application for stock market

Massimiliano Ferrara, Sepideh Rasouli, Mehrnoosh Khademi, Mehdi Salimi

In this paper we apply robust linear programming technique for multidimensional analysis of preference (LINMAP) method for a decision making problem. During the last two decades, many methods have been extensively used for decision making problems. However, there is no investigation among many existing studies where the uncertainty in data is possible. The robust LINMAP method with the assumption of uncertainty on parameters is implemented in the stock market in order to rank priorities of the stocks.

MoreLess

Year of publication:	2017
Authors:	Ferrara, Massimiliano ; Rasouli, Sepideh ; Khademi, Mehrnoosh ; Salimi, Mehdi
Published in:	Operations research perspectives. - Amsterdam [u.a.] : Elsevier, ISSN 2214-7160, ZDB-ID 2821932-6. - Vol. 4.2017, p. 136-141
Subject:	Decision making \| Robust LINMAP \| Stock \| Robustes Verfahren \| Robust statistics \| Mathematische Optimierung \| Mathematical programming \| Entscheidung \| Decision \| Aktienmarkt \| Stock market \| Theorie \| Theory \| Multikriterielle Entscheidungsanalyse \| Multi-criteria analysis