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

Author

Listed:
  • Ferrara, Massimiliano
  • Rasouli, Sepideh
  • Khademi, Mehrnoosh
  • Salimi, Mehdi

Abstract

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.

Suggested Citation

  • Ferrara, Massimiliano & Rasouli, Sepideh & Khademi, Mehrnoosh & Salimi, Mehdi, 2017. "A robust optimization model for a decision-making problem: An application for stock market," Operations Research Perspectives, Elsevier, vol. 4(C), pages 136-141.
    • Handle: RePEc:eee:oprepe:v:4:y:2017:i:c:p:136-141
    DOI: 10.1016/j.orp.2017.10.001
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    Cited by:

    1. Kocherlakota Satya Pritam & Trilok Mathur & Shivi Agarwal & Sanjoy Kumar Paul & Ahmed Mulla, 2022. "A novel methodology for perception-based portfolio management," Annals of Operations Research, Springer, vol. 315(2), pages 1107-1133, August.

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