A novel hybrid model for portfolio selection

DOI10.1016/J.AMC.2004.10.080zbMath1151.91530OpenAlexW2089073668MaRDI QIDQ2571969

Chorng-Shyong Ong, Gwo-Hshiung Tzeng, Jih-Jeng Huang

Publication date: 14 November 2005

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

Full work available at URL: http://ntur.lib.ntu.edu.tw//handle/246246/84970

zbMATH Keywords

Portfolio selectionGrey modelMean-variance approachMulti-objective evolution algorithms (MOEA)Possibilistic regression model

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (11)

2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization ⋮ Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips ⋮ A portfolio optimization model with three objectives and discrete variables ⋮ Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas ⋮ Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach ⋮ Using genetic algorithms grey theory to forecast high technology industrial output ⋮ Analyzing the performance of a two-tail-measures-utility multi-objective portfolio optimization model ⋮ Hybrid metaheuristics for constrained portfolio selection problems ⋮ Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case ⋮ A class of possibilistic portfolio selection model with interval coefficients and its application ⋮ Fuzzy portfolio selection using fuzzy analytic hierarchy process

Uses Software

• Genocop

Cites Work

• Default reasoning and possibility theory
• Control problems of grey systems
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