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

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

prof._said_sami_al_hallaq

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Prof. Said Sami Al hallaq

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Mohamad Mahmoud Ajlouni

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Mahmoud Faheem Al Saadi

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

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Abstract

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.

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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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How to Cite 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

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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

Submission ReceivedJune 12, 2021
Peer Review Double Blind
Handling Editor
Accepted July 4, 2021
Published July 15, 2021

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January 16, 2021

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