Fuzzy portfolio optimization. Advances in hybrid multi-criteria methodologies (Q398224): Difference between revisions

The aim of the book under review is, as already pointed out by the authors in their preface, to traverse the transition of portfolio optimization right from the evaluation of the research area and basic models to its extension into the domain of fuzzy set theory, multiple criteria decision making and hybrid approaches. The book contains ten chapters. The contents of this research monograph are as follows: 1. Portfolio optimization: an overview; 2. Portfolio optimization with interval coefficients; 3. Portfolio optimization in fuzzy environment; 4. Possibilistic programming approaches to portfolio optimization; 5. Portfolio optimization using credibility theory; 6. Multi-criteria fuzzy portfolio optimization; 7. Suitability consideration in multi-criteria fuzzy portfolio optimization I; 8. Suitability considerations in multi-criteria fuzzy portfolio optimization II; 9. Ethicality considerations in multi-criteria fuzzy portfolio optimization; 10. Multi-criteria portfolio optimization using support vector machines and genetic algorithms. In Chapter 1, the authors present a brief overview of portfolio optimization including the classical mean-variance model developed by Markowitz and various extensions of the mean-variance model by considering alternative measures of risk. Chapter 2 reviews interval numbers and interval arithmetic and then presents portfolio optimization models using interval coefficients in respect of three types of investment strategies, namely, conservative strategy, aggressive strategy and combination strategy. Chapter 3 contains a brief overview of fuzzy decision theory and presents a fuzzy framework of the mean-variance portfolio optimization model using max-min approach. In Chapter 4, the authors present a thorough study of the foundations of possibility theory and the portfolio optimization problem with fuzzy coefficients. Chapter 5 is devoted to presenting a detailed discussion of the credibility theory and a credibilistic framework for the portfolio optimization problem. Chapter 6 describes fuzzy portfolio selection models using five criteria: short term return, long term return, dividend, risk and liquidity. Chapter 7 presents a fuzzy framework of portfolio selection by simultaneous considerations of suitability and optimality. In Chapter 8, the authors present an approach based on AHP (Analytical Hierarchy Process) and fuzzy multiobjective programming to attain the convergence of suitability and optimality in portfolio selection. Chapter 9 present a comprehensive three-stage multiple criteria decision making framework for portfolio selection based upon financial and ethical criteria simultaneously. Finally, Chapter 10 is devoted to an application of support vector machines and real-coded genetic algorithms in portfolio optimization. The book contains a list of 131 references and a subject index. The book is well written and the presentation is rigorous and self-contained.