A Hybrid Grey based Two Steps Clustering and Firefly Algorithm for Portfolio Selection

Document Type : Original Manuscript

Authors

• farshad faezy razi ¹
• Naeimeh Shadloo ²

¹ Assistant professor, Department of Industrial Management, Semnan Branch, Islamic Azad University, Semnan, Iran

² MSc, Department of Industrial Management, Semnan Branch, Islamic Azad University, Semnan, Iran

Abstract

Highlights

• This study aims at offering a new methodology for making decisions concerning the formation of a portfolio of stocks in the stock market
• Candidate stocks were clustered using two-step clustering method. Available stocks in each cluster were independently ranked using grey relational analysis
• Firefly algorithm was employed for Pareto analysis of risk and ranking. The results of clustering in the stocks revealed that all candidate stocks were not placed in one cluster
• The results of robustness analysis employed in ranking method verified the accuracy of calculations in the grey relational analysis through stock repetition of candidates in each cluster  

Keywords

• Firefly Algorithm
• Grey Relational Analysis
• Multiple-Criteria Decision-Making
• Portfolio optimization
• Two-Step Clustering

Main Subjects

• Design of Experiment