An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity

DOI10.1155/2015/569415zbMath1395.91427OpenAlexW1489380035WikidataQ59119356 ScholiaQ59119356MaRDI QIDQ1666014

Yuping Wang, Wei Yue, Cai Dai

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/569415

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Uses Software

• MOEA/D

Cites Work

• Unnamed Item
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• Increases in skewness and three-moment preferences
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• Entropy model of the investment portfolio
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• Priced risk and asymmetric volatility in the cross section of skewness
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• On possibilistic mean value and variance of fuzzy numbers

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