Single criterion vs. multi-criteria optimal stopping methods for portfolio management

References

• Abdelaziz, F.B., & Krichen, S. (2005). An interactive method for the optimal selection problem with two decision makers. European Journal of Operational Research, 162(3), 602–609.10.1016/j.ejor.2003.10.048
   Web of Science ®Google Scholar
• Abdelaziz, F.B., & Krichen, S. (2007). Optimal stopping problems by two or more decision makers: A survey. Computational Management Science, 4(2), 89–111.10.1007/s10287-006-0029-5
   Google Scholar
• Abdelaziz, F.B., & Mallek, R.S. (2016). Multi-criteria optimal stopping methods applied to the portfolio optimisation problem. Annals of Operations Research, 1–18.
   Web of Science ®Google Scholar
• Abdelaziz, F.B., Amer, M., & El-Baz, H. (2014). An Epsilon constraint method for selecting Indicators for use in Neural Networks for stock market forecasting. INFOR: Information Systems and Operational Research, 52(3), 116–125.
   Web of Science ®Google Scholar
• Abdelaziz, F.B., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811–1823.10.1016/j.ejor.2005.10.021
   Web of Science ®Google Scholar
• Acharya, V.V., & Pedersen, L.H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77(2), 375–410.10.1016/j.jfineco.2004.06.007
   Web of Science ®Google Scholar
• Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56.10.1016/S1386-4181(01)00024-6
   Web of Science ®Google Scholar
• Bahrammirzaee, A. (2010). A comparative survey of artificial intelligence applications in finance: Artificial neural networks, expert system and hybrid intelligent systems. Neural Computing and Applications, 19(8), 1165–1195.10.1007/s00521-010-0362-z
   Web of Science ®Google Scholar
• Benati, S., & Rizzi, R. (2007). A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem. European Journal of Operational Research, 176(1), 423–434.10.1016/j.ejor.2005.07.020
   Web of Science ®Google Scholar
• Black, F., & Litterman, R. (1992). Global portfolio optimization. Financial analysts journal, 48(5), 28–43.
   Google Scholar
• Bouri, A., Martel, J.M., & Chabchoub, H. (2002). A multi-criterion approach for selecting attractive portfolio. Journal of Multi-Criteria Decision Analysis, 11(4–5), 269–277.10.1002/(ISSN)1099-1360
   Google Scholar
• Bruss, F.T., & Samuels, S.M. (1987). A unified approach to a class of optimal selection problems with an unknown number of options. The Annals of Probability, 824–830.10.1214/aop/1176992175
   Web of Science ®Google Scholar
• Campbell, G. (1982). The maximum of a sequence with prior information. Sequential analysis, 1(3), 177–191.10.1080/07474948208836012
   Google Scholar
• Campbell, R., Huisman, R., & Koedijk, K. (2001). Optimal portfolio selection in a value-at-Risk framework. Journal of Banking & Finance, 25(9), 1789–1804.10.1016/S0378-4266(00)00160-6
   Web of Science ®Google Scholar
• Chun, Y.H. (1999). Selecting the best choice in the full information group interview problem. European Journal of Operational Research, 119(3), 635–651.10.1016/S0377-2217(98)00341-5
   Web of Science ®Google Scholar
• Chun, Y.H. (2015). Multi-attribute sequential decision problem with optimizing and satisficing attributes. European Journal of Operational Research, 243(1), 224–232.10.1016/j.ejor.2014.11.007
   Web of Science ®Google Scholar
• Dynkin, E.B. (1963). The optimum choice of the instant for stopping a Markov process. Soviet Mathematics Doklady, 4, 627–629.
   Google Scholar
• Ferenstein, E.Z., & Enns, E.G. (1988). Optimal sequential selection from a known distribution with holding costs. Journal of the American Statistical Association, 83(402), 382–386.10.1080/01621459.1988.10478608
   Web of Science ®Google Scholar
• Ferguson, T.S., Hardwick, J.P., & Tamaki, M. (1992). Maximizing the duration of owning a relatively best object. Strategies for Sequential Search and Selection in Real Time, 37–57.10.1090/conm/125
   Google Scholar
• Frank, A.Q., & Samuels, S.M. (1980). On an optimal stopping problem of Gusein-Zade. Stochastic Processes and their Applications, 10(3), 299–311.10.1016/0304-4149(80)90013-7
   Google Scholar
• Gilbert, J.P., & Mosteller, F. (1966). Recognizing the maximum of a sequence. Journal of the American Statistical Association, 61(313), 35–73.10.1080/01621459.1966.10502008
   Web of Science ®Google Scholar
• Gnedin, A.V. (1981). Multicriterial problem of optimum stopping of the selection process. Automation and Remote Control, 42(7), 981–986.
   Web of Science ®Google Scholar
• Gnedin, A.V. (1994). On a best-choice problem by dependent criteria. Journal of Applied Probability, 31(1), 221–234.10.2307/3215248
   Web of Science ®Google Scholar
• Gnedin, A.V. (1996). On the full information best-choice problem. Journal of Applied Probability, 33(3), 678–687.10.2307/3215349
   Web of Science ®Google Scholar
• Gorgulho, A., Neves, R., & Horta, N. (2011). Applying a GA kernel on optimizing technical analysis rules for stock picking and portfolio composition. Expert systems with Applications, 38(11), 14072–14085.
   Web of Science ®Google Scholar
• Krichen, S., & Abdelaziz, F.B. (2007). An optimal stopping problem with two decision makers. Sequential Analysis, 26(4), 467–480.10.1080/07474940701620964
   Google Scholar
• Lindley, D.V. (1961). Dynamic programming and decision theory. Applied Statistics, 39–51.10.2307/2985407
   Google Scholar
• Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77–91.
   Web of Science ®Google Scholar
• Mucci, A.G. (1973). On a class of secretary problems. The Annals of Probability, 417–427.10.1214/aop/1176996936
   Web of Science ®Google Scholar
• Murphy, J.J. (1999). Technical analysis of financial markets. New York: New York Institute of Finance.
   Google Scholar
• Presman, E.L.V., & Sonin, I.M. (1972). The best choice problem for a random number of objects. Teoriya Veroyatnostei i ee Primeneniya, 17(4), 695–706.
   Google Scholar
• Sakaguchi, M. (1995). Optimal stopping games: A review. Mathematica Japonicae, 42(2), 343–351.
   Google Scholar
• Steuer, R.E., Qi, Y., & Hirschberger, M. (2005). Multiple objectives in portfolio selection. Journal of Financial Decision Making, 1(1), 5–20.
   Google Scholar
• Stewart, T.J. (1978). Optimal selection from a random sequence with learning of the underlying distribution. Journal of the American Statistical Association, 73(364), 775–780.10.1080/01621459.1978.10480098
   Web of Science ®Google Scholar
• Wang, J.L., & Chan, S.H. (2007). Stock market trading rule discovery using pattern recognition and technical analysis. Expert Systems with Applications, 33(2), 304–315.10.1016/j.eswa.2006.05.002
   Web of Science ®Google Scholar
• Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398–409.10.1016/j.ejor.2010.08.028
   Web of Science ®Google Scholar
• Yang, M.C. (1974). Recognizing the maximum of a random sequence based on relative rank with backward solicitation. Journal of Applied Probability, 11(3), 504–512.10.2307/3212694
   Web of Science ®Google Scholar
• Yunusoglu, M.G., & Selim, H. (2013). A fuzzy rule based expert system for stock evaluation and portfolio construction: An application to Istanbul Stock Exchange. Expert Systems with Applications, 40(3), 908–920.10.1016/j.eswa.2012.05.047
   Web of Science ®Google Scholar