A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns

DOI10.1016/J.CAM.2009.07.019zbMath1180.91307OpenAlexW2010969505MaRDI QIDQ732131

Zhongfeng Qin, Xiang Li, Yang Zhang, Hau-San Wong

Publication date: 9 October 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.07.019

zbMATH Keywords

neural networksimulated annealingportfolio selectioncredibility measurefuzzy variablefuzzy simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Learning and adaptive systems in artificial intelligence (68T05) Theory of fuzzy sets, etc. (03E72) Portfolio theory (91G10)

Related Items (16)

Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints ⋮ A new quadratic deviation of fuzzy random variable and its application to portfolio optimization ⋮ A bi-level programming model of resource matching for collaborative logistics network in supply uncertainty environment ⋮ Multiobjective expected value model for portfolio selection in fuzzy environment ⋮ An expected regret minimization portfolio selection model ⋮ Portfolio selection under higher moments using fuzzy multi-objective linear programming ⋮ Credibilitic mean-variance model for multi-period portfolio selection problem with risk control ⋮ Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ A new risk criterion in fuzzy environment and its application ⋮ Spread of fuzzy variable and expectation-spread model for fuzzy portfolio optimization problem ⋮ An $$\alpha $$-risk appetite cost minimizing model for multi-commodity capacitated p-hub median problem with time windows and uncertain flows ⋮ Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Mean-risk model for uncertain portfolio selection ⋮ Using greedy clustering method to solve capacitated location-routing problem with fuzzy demands

Cites Work

• Unnamed Item
• Optimization by Simulated Annealing
• Indeterminacy in portfolio selection
• Mean-semivariance models for fuzzy portfolio selection
• Semi-iterative minimum cross-entropy algorithms for rare-events, counting, combinatorial and integer programming
• Portfolio selection based on fuzzy cross-entropy
• Fuzzy sets as a basis for a theory of possibility
• Determination of the portfolio selection for a property-liability insurance company
• Chance constrained programming with fuzzy parameters
• Variance vs downside risk: Is there really that much difference?
• A mean-absolute deviation-skewness portfolio optimization model
• Computation of mean-semivariance efficient sets by the critical line algorithm
• Entropy optimization and mathematical programming
• Simulated annealing for complex portfolio selection problems.
• A minimax portfolio selection strategy with equilibrium
• Portfolio selection based on upper and lower exponential possibility distributions
• A possibilistic approach to selecting portfolios with highest utility score
• Theory and practice of uncertain programming
• A note on chance constrained programming with fuzzy coefficients
• Portfolio selection based on fuzzy probabilities and possibility distributions
• A model for portfolio selection with order of expected returns.
• Neural network-based mean-variance-skewness model for portfolio selection
• Genetic algorithms for portfolio selection problems with minimum transaction lots
• Asset portfolio optimization using fuzzy mathematical programming
• Fuzzy chance-constrained portfolio selection
• Mean-variance-skewness model for portfolio selection with transaction costs
• Large-Scale Portfolio Optimization
• A linear programming algorithm for optimal portfolio selection with transaction costs
• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• Using investment portfolio return to combine forecasts: A multiobjective approach
• A fuzzy goal programming approach to portfolio selection

This page was built for publication: A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns