Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
From MaRDI portal
Publication:1618411
DOI10.1016/j.physa.2015.02.060zbMath1400.90323OpenAlexW2065634150MaRDI QIDQ1618411
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2015.02.060
heuristicsartificial bee colony algorithmcardinality constraintfuzzy portfolio optimizationsemiabsolute deviation
Applications of mathematical programming (90C90) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)
Related Items
An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions ⋮ Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels ⋮ A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances ⋮ Portfolio optimization using higher moments in an uncertain random environment ⋮ Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers ⋮ Fuzzy multi-period portfolio selection model with discounted transaction costs ⋮ Efficiency evaluation of fuzzy portfolio in different risk measures via DEA ⋮ A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs ⋮ 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 portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty ⋮ Multi-period mean-semivariance portfolio optimization based on uncertain measure
Uses Software
Cites Work
- Multiobjective expected value model for portfolio selection in fuzzy environment
- Fuzzy portfolio selection problem with different borrowing and lending rates
- A global best artificial bee colony algorithm for global optimization
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- An efficient and robust artificial bee colony algorithm for numerical optimization
- Chaos embedded particle swarm optimization algorithms
- Gbest-guided artificial bee colony algorithm for numerical function optimization
- Chaos-enhanced accelerated particle swarm optimization
- Pareto ant colony optimization: a metaheuristic approach to multiobjective portfolio selection
- Portfolio selection using neural networks
- Fuzzy portfolio optimization under downside risk measures
- A class of possibilistic portfolio selection model with interval coefficients and its application
- Particle swarm optimization approach to portfolio optimization
- Variance vs downside risk: Is there really that much difference?
- An MCDM approach to portfolio optimization.
- Heuristics for cardinality constrained portfolio optimization
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- The returns and risks of investment portfolio in a financial market
- Portfolio selection based on upper and lower exponential possibility distributions
- A possibilistic approach to selecting portfolios with highest utility score
- An improved particle swarm optimization with double-bottom chaotic maps for numerical optimization
- Differential evolution and combinatorial search for constrained index-tracking
- Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
- A comparative study of artificial bee colony algorithm
- A powerful and efficient algorithm for numerical function optimization: artificial bee colony (ABC) algorithm
- Moments and semi-moments for fuzzy portfolio selection
- Genetic algorithms for portfolio selection problems with minimum transaction lots
- Portfolio optimization with linear and fixed transaction costs
- Fuzzy portfolio model with different investor risk attitudes
- Twenty years of linear programming based portfolio optimization
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- A portfolio optimization model with three objectives and discrete variables
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- An integrated portfolio optimisation procedure based on data envelopment analysis, artificial bee colony algorithm and genetic programming
- Safety First and the Holding of Assets
- Uncertainty theory
- On possibilistic mean value and variance of fuzzy numbers
