A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
From MaRDI portal
Publication:423150
DOI10.1016/j.fss.2011.05.013zbMath1238.91142OpenAlexW1965024868MaRDI QIDQ423150
José D. Bermúdez, José Vicente Segura, Enriqueta Vercher
Publication date: 18 May 2012
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.fss.2011.05.013
Numerical methods (including Monte Carlo methods) (91G60) 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)
Related Items
Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem ⋮ Forecasting portfolio returns using weighted fuzzy time series methods ⋮ Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips ⋮ Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Solving cardinality constrained mean-variance portfolio problems via MILP ⋮ Portfolio selection under higher moments using fuzzy multi-objective linear programming ⋮ Validation of methods for ranking fuzzy numbers in decision making ⋮ A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs ⋮ A new method for ranking fuzzy numbers and its application to group decision making ⋮ Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model ⋮ Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences ⋮ Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures ⋮ Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs ⋮ Artificial Intelligence Evolved from Random Behaviour: Departure from the State of the Art
Cites Work
- Unnamed Item
- Unnamed Item
- A fuzzy control model (FCM) for dynamic portfolio management
- Fuzzy portfolio optimization under downside risk measures
- Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming
- Multi-objective possibilistic model for portfolio selection with transaction cost
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Portfolio selection problems with random fuzzy variable returns
- The mean value of a fuzzy number
- On a canonical representation of fuzzy numbers
- Portfolio selection under independent possibilistic information
- Heuristics for cardinality constrained portfolio optimization
- Viability of infeasible portfolio selection problems: A fuzzy approach
- Portfolio selection based on upper and lower exponential possibility distributions
- On weighted possibilistic mean and variance of fuzzy numbers
- A possibilistic approach to selecting portfolios with highest utility score
- Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
- Portfolio selection based on fuzzy probabilities and possibility distributions
- Portfolio rebalancing model with transaction costs based on fuzzy decision theory
- A new perspective for optimal portfolio selection with random fuzzy returns
- Asset portfolio optimization using fuzzy mathematical programming
- Multiobjective programming in optimization of the interval objective function
- Decision-Making in a Fuzzy Environment
- On possibilistic mean value and variance of fuzzy numbers
- Genetic algorithms and fuzzy multiobjective optimization
