Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

DOI10.1016/j.ins.2012.12.011zbMath1293.91173OpenAlexW2089591483MaRDI QIDQ2510153

Pankaj Gupta, Garima Mittal, Masahiro Inuiguchi, Mukesh Kumar Mehlawat

Publication date: 1 August 2014

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2012.12.011

zbMATH Keywords

multiobjective programmingchance-constrained programmingcredibility measurereal-coded genetic algorithmfuzzy portfolio selection

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Learning and adaptive systems in artificial intelligence (68T05) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items

Forecasting portfolio returns using weighted fuzzy time series methods ⋮ Fuzzy portfolio selection including cardinality constraints and integer conditions ⋮ Application of gray systems and fuzzy sets in combination with real options theory in project portfolio management ⋮ A new optimization model for project portfolio selection under interval-valued fuzzy environment ⋮ Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels ⋮ Portfolio optimization using higher moments in an uncertain random environment ⋮ Gradually tolerant constraint method for fuzzy portfolio based on possibility theory ⋮ Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem ⋮ Multi-period cardinality constrained portfolio selection models with interval coefficients ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models ⋮ A nonlinear interval portfolio selection model and its application in banks ⋮ Fuzzy portfolio selection model with real features and different decision behaviors ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost ⋮ Some results in interval multiobjective linear programming for recognizing different solutions