A New Approach for Combining Multi-Criteria Trading Decision Models

被引：0
|
作者：
Gadallah, Tarek M. [1 ]
Fors, M. Nashat [2 ]
Moneim, Ahmed Farouk Abdul [3 ]
机构：
[1] Univ Alexandria, Fac Engn, Alexandria, Egypt
[2] Univ Alexandria, Fac Engn, Ind Engn, Alexandria, Egypt
[3] Arab Acad Sci & Technol & Maritime Transport, Ind Engn, Alexandria, Egypt
来源：
2015 INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND OPERATIONS MANAGEMENT (IEOM) | 2015年
关键词：
Multi-Criteria; Combining; Trading decision model;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
the adverse financial market conditions make different single trading decision models face lack of robustness and trading decisions become more risky. In order to overcome this difficulty, a combination of several single decision models is proposed. The proposed model is formulated as a multi-criteria optimization model (maximizing the net profit and minimizing the maximum drawdown) to be solved for the contribution ratio of each trading decision model component in the trading decision pool. It has been demonstrated that the proposed strategy of combining different trading decision models results in noticeable increase of profit as well as considerable decrease in the maximum drawdown.
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收藏
页数：6
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