Boongasame, Laor

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Boongasame, Laor
Alternative Name
Boongasame, Labor
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Email
laor.bo@kmitl.ac.th

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    An ELECTRE III Based CBR Approach to Combinatorial Portfolio Selection
    (2019-06-01)
    Chanvarasuth, Pisit
    ;
    Boongasame, Laor
    ;
    Boonjing, Veera
    Investors generally learn from historical data and use it to improve future investment decisions. However, existing portfolio selection research rarely considers such a concept. This paper proposes a novel approach to the combinatorial portfolio selection problem. Our solution employs the Case-Based Reasoning (CBR) approach with ELECTRE III, based on the Industry Classification Benchmark standards. The target stocks are ranked based on their similarities to a reference case, allowing specified selection criteria. Similarities are calculated based on selected ELECTRE III metrics. Experimental results with the Stock Exchange of Thailand data show that our CBR approach with ELECTRE III outperforms the traditional method.
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    Combinatorial portfolio selection with the ELECTRE III method: Case study of the stock exchange of Thailand
    (2017-01-01)
    Boonjing, Veera
    ;
    Boongasame, Laor
    Various techniques of portfolio selection are applied to interpret the status of the market and predict the market's future trend, but they are not beneficial to small investors because these techniques should be administered by an expert. In addition, these techniques cannot help investors compare business on ambiguity multi-criteria and desire accumulation of data about the market. Therefore, portfolio selection with two significant financial ratios using the ELECTRE III method is proposed for small investors to make trading decisions. In order to demonstrate the effectiveness of this research, it is compared to the situation where a fix-percentage allocation existed and data was collected from the stock exchange of Thailand (SET). Empirical results show that portfolio selection with the ELECTRE III method offer significantly better ranking performance than the fix-percentage allocation method.
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    Combinatorial portfolio selection with the ELECTRE III method: Case study of the Stock Exchange of Thailand (SET)
    (2016-11-03)
    Boonjing, Veera
    ;
    Boongasame, Laor
    Various techniques of portfolio selection are applied to interpret the status of the market and predict the market's future trend, but they are not beneficial to small investors because these techniques should be administered by an expert. In addition, these techniques desire accumulation of data about the market and complicated calculations, which is too much effort for individual small investors. Therefore, portfolio selection with two significant financial ratios using the ELECTRE III method is proposed for these investors to make trading decisions. In order to demonstrate the effectiveness of this new method, it is compared to the situation where a fix percentage allocation existed and data was collected from the Stock Exchange of Thailand (SET).
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    A new approach to Multi-criteria Decision Making (MCDM) using the fuzzy binary relation of the ELECTRE III method and the principles of the AHP method
    (2010-03-31)
    Boongasame, Laor
    ;
    Boonjing, Veera
    There are several methods for Multi Criteria Decision Making (MCDM) such as multiple attribute utility theory (MAUT), the analytical hierarchy process (AHP), and Fuzzy AHP. However, these methods are compensatory optimization approaches for which bad score on some criteria can be compensated by excellent scores on other criteria. So, the Elimination and Choice Translating Reality III (ELECTRE III) was proposed to solve such problem. Nevertheless, thresholds determined by identified experts and used in this method may be inconsistent. Therefore, this paper proposes an integrated approach which employs ELECTRE III and partial concepts of AHP together, called the Consistency ELECTRE III. In this method, ELECTRE III is used in ranks the alternatives and AHP is used in determining the consistency of the criteria thresholds within ELECTRE III. In the simulation, it is found that threshold values of criteria within ELECTRE III affect the ranking of the alternatives. Specially, the ranking of the Consistency ELECTRE III and that of the ELECTRE III are different. © 2010 Springer-Verlag Berlin Heidelberg.
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    A new coalition formation based on reservation prices and locations of buyers
    (2013-01-01)
    Narabin, Santit
    ;
    Boonjing, Veera
    ;
    Boongasame, Laor
    This paper defines a coalition as a cluster of buyers in dimensional space of reservation price and location. It defines a new buyer utility accounting for discount and traveling costs. A new coalition with nonnegative utility is proposed to maximize a number of successful buyers. This nonnegative utility coalition also assures that a winner does not have to pay more to subsidize others. Simulation results confirm that performance of the new scheme is significantly better than of a random one and is as good as a reservation price based coalition. © 2013 S. Narabin et al.
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    A Cluster Analysis of Mutual Funds Data
    (2018-11-26)
    Narabin, Santit
    ;
    Boongasame, Laor
    The factors of clustering mutual fund (such as Net Asset Value (NAV)) do not direct to both return and risk of mutual funds which they are important factors for investors. This research helps an investor can estimate profit and loss rate of the mutual fund in his/her portfolio by using the net asset value change ratios (NAVCR). Then, both the NAVCR and value of each mutual fund will be used for clustering. For building a portfolio, the mutual funds could be selected from the diversified groups in order to reduce risk. The mutual fund data at different times from the set for the fiscal year 2010 - 2017 are used. The results of our analysis show that our models offer significantly better performance than the portfolio management model derived from the random portfolio management.
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