The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
We propose a new algorithm for portfolio optimization based on statistical arbitrage, that uses a multi-criteria decision making approach to obtain the most preferred assets. A preference flow graph of financial assets is constructed at each time step, with the aid of statistical arbitrage algorithm that describes preferences among the assets. Then, the individual preferences for each asset are obtained...