A Hybrid DEA Based CHAID and Imperialist Competitive Algorithm for Stock ‎Selection

Author(s):

F. Faezy Razi

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:

In this paper, the investment portfolio is formed based on the data mining algorithm of CHAID on the basis of the risk status criteria. In the next step, the second investment portfolio is created based on the decision rules extracted by the DEA-BCC model. The final portfolio is created through a two-objective mathematical programming model based on the Imperialist Competitive algorithm.

Keywords:

data mining , Classification , DEA Based CHAID , Imperialist Competitive Algorithm , Stock Selection

Language:
English
Published:
International Journal of Industrial Mathematics, Volume:12 Issue: 1, Winter 2020
Pages:
43 to 57
https://www.magiran.com/p2047138