Optimum Portfolio Selection using a Hybrid Genetic Algorithm and Analytic Hierarchy Process: An Application to Amman Stock Exchange

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prof._said_sami_al_hallaq
prof._said_sami_al_hallaq
2
Prof. Said Sami Al hallaq
Prof. Said Sami Al hallaq
3
Mohamad Mahmoud Ajlouni
Mohamad Mahmoud Ajlouni
4
Mahmoud Faheem Al Saadi
Mahmoud Faheem Al Saadi

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GJMBR Volume 21 Issue C1

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The aim of this study is to investigate the ability of a hybrid genetic algorithm (HGA) and analytic hierarchy process (AHP) in selecting the optimum portfolio. This of course, helps investors to decide the most appropriate investment alternatives. For that purpose, the study creates portfolios using daily returns of the companies listed in Amman Stock Exchange, for the period from January 1, 2015 to December 31, 2015. The results show that HGA can identify portfolios that are in the efficient frontier.HGA has more advantages than disadvantages for the portfolio selection cases in which the scale of the problem or the nonlinear constraints cannot be solved by linear or quadratic models. In addition, the results reveal that AHP can select the optimum portfolio among the portfolios obtained by HGA.

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No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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Not applicable for this article.

prof._said_sami_al_hallaq. 2021. \u201cOptimum Portfolio Selection using a Hybrid Genetic Algorithm and Analytic Hierarchy Process: An Application to Amman Stock Exchange\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 21 (GJMBR Volume 21 Issue C1): .

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GJMBR Volume 21 Issue C1
Pg. 41- 53
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: F65
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January 16, 2021

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English

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The aim of this study is to investigate the ability of a hybrid genetic algorithm (HGA) and analytic hierarchy process (AHP) in selecting the optimum portfolio. This of course, helps investors to decide the most appropriate investment alternatives. For that purpose, the study creates portfolios using daily returns of the companies listed in Amman Stock Exchange, for the period from January 1, 2015 to December 31, 2015. The results show that HGA can identify portfolios that are in the efficient frontier.HGA has more advantages than disadvantages for the portfolio selection cases in which the scale of the problem or the nonlinear constraints cannot be solved by linear or quadratic models. In addition, the results reveal that AHP can select the optimum portfolio among the portfolios obtained by HGA.

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Optimum Portfolio Selection using a Hybrid Genetic Algorithm and Analytic Hierarchy Process: An Application to Amman Stock Exchange

Prof. Said Sami Al hallaq
Prof. Said Sami Al hallaq
Mohamad Mahmoud Ajlouni
Mohamad Mahmoud Ajlouni
Mahmoud Faheem Al Saadi
Mahmoud Faheem Al Saadi

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