A novel methodology for perception-based portfolio management

Pritam, KS; Mathur, T; Agarwal, S; Paul, SK; Mulla, A

A novel methodology for perception-based portfolio management

Pritam, KS Mathur, T Agarwal, S Paul, SK Mulla, A

Permalink

Publisher:: Springer Science and Business Media LLC
Publication Type:: Journal Article
Citation:: Annals of Operations Research, 2022, 315, (2), pp. 1107-1133
Issue Date:: 2022-08

Closed Access

	Filename	Description	Size
	A novel methodology for perception-based portfolio management.pdf	Published version	2.5 MB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Pritam, KS
dc.contributor.author	Mathur, T
dc.contributor.author	Agarwal, S
dc.contributor.author	Paul, SK
dc.contributor.author	Mulla, A
dc.date.accessioned	2022-10-30T22:58:45Z
dc.date.available	2022-01-03
dc.date.available	2022-10-30T22:58:45Z
dc.date.issued	2022-08
dc.identifier.citation	Annals of Operations Research, 2022, 315, (2), pp. 1107-1133
dc.identifier.issn	0254-5330
dc.identifier.issn	1572-9338
dc.identifier.uri	http://hdl.handle.net/10453/162989
dc.description.abstract	Selecting and investing in stock market with right proportions is one of the major challenges. Majority of the investors end up losing their invested equity capital due to uncertainty in the market. The present study provides a novel framework for novice investors to construct portfolio based on multicriteria decision making techniques under fuzzy environment. The scores obtained from these techniques were used to introduce two non-dimensional parameters for categorization of risky and non-risky assets. Three perceptions portfolios were constructed based on the proposed non-dimensional parameters along with fractional lion clustering algorithm. In order to demonstrate the proposed framework, an illustrative application is included in equity portfolio selection. The returns and risks of these perception based portfolios are compared to major Index funds for validating the efficiency and are found to overpower the Index funds with significant margins by maintaining the risk comparable to Index funds. Further, Markowitz based efficient frontier is plotted for better understanding of optimal returns and risk for perception based investment.
dc.format	Print-Electronic
dc.language	en
dc.publisher	Springer Science and Business Media LLC
dc.relation.ispartof	Annals of Operations Research
dc.relation.isbasedon	10.1007/s10479-022-04530-9
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	01 Mathematical Sciences, 08 Information and Computing Sciences, 15 Commerce, Management, Tourism and Services
dc.subject.classification	Operations Research
dc.title	A novel methodology for perception-based portfolio management
dc.type	Journal Article
utslib.citation.volume	315
utslib.location.activity	United States
utslib.for	01 Mathematical Sciences
utslib.for	08 Information and Computing Sciences
utslib.for	15 Commerce, Management, Tourism and Services
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Management Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	true
dc.date.updated	2022-10-30T22:57:54Z
pubs.issue	2
pubs.publication-status	Published
pubs.volume	315
utslib.citation.issue	2

Abstract:

Selecting and investing in stock market with right proportions is one of the major challenges. Majority of the investors end up losing their invested equity capital due to uncertainty in the market. The present study provides a novel framework for novice investors to construct portfolio based on multicriteria decision making techniques under fuzzy environment. The scores obtained from these techniques were used to introduce two non-dimensional parameters for categorization of risky and non-risky assets. Three perceptions portfolios were constructed based on the proposed non-dimensional parameters along with fractional lion clustering algorithm. In order to demonstrate the proposed framework, an illustrative application is included in equity portfolio selection. The returns and risks of these perception based portfolios are compared to major Index funds for validating the efficiency and are found to overpower the Index funds with significant margins by maintaining the risk comparable to Index funds. Further, Markowitz based efficient frontier is plotted for better understanding of optimal returns and risk for perception based investment.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/162989