Fuzzy multi-period portfolio selection optimization models using multiple criteria

DOI10.1016/j.automatica.2012.08.036zbMath1255.93152OpenAlexW2054535840MaRDI QIDQ1932695

Wei-Guo Zhang, Yong-Jun Liu, Wei-jun Xu

Publication date: 21 January 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2012.08.036

zbMATH Keywords

transaction costrisk managementmultiple criteria decision-makingfuzzy multi-period portfolio selectionmodels with closed-loop controlTOPSIS-compromised programmingtransactions in financial market

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Fuzzy control/observation systems (93C42) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (26)

Estimation of fuzzy portfolio efficiency via an improved DEA approach ⋮ Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints ⋮ Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs ⋮ A multi-period fuzzy portfolio optimization model with minimum transaction lots ⋮ Credibilistic multi-period portfolio optimization based on scenario tree ⋮ Fuzzy multi-period portfolio selection with different investment horizons ⋮ Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models ⋮ A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude ⋮ Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints ⋮ An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity ⋮ Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels ⋮ A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model ⋮ Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Fuzzy multi-period portfolio selection model with discounted transaction costs ⋮ Portfolio selection under higher moments using fuzzy multi-objective linear programming ⋮ Credibilitic mean-variance model for multi-period portfolio selection problem with risk control ⋮ Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem ⋮ Portfolio optimization in real financial markets with both uncertainty and randomness ⋮ Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint ⋮ Performance evaluation of portfolios with fuzzy returns ⋮ A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints ⋮ Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity ⋮ A new uncertain random portfolio optimization model for complex systems with downside risks and diversification

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