An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity
DOI10.1155/2015/569415zbMATH Open1395.91427OpenAlexW1489380035WikidataQ59119356 ScholiaQ59119356MaRDI QIDQ1666014FDOQ1666014
Authors: Wei Yue, Yuping Wang, Cai Dai 
Publication date: 27 August 2018
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2015/569415
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Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)
Cites Work
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Fuzzy turnover rate chance constraints portfolio model
- Multi-objective optimization using evolutionary algorithms
- Elementary fuzzy calculus
- Multi-objective possibilistic model for portfolio selection with transaction cost
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Diversified portfolios with different entropy measures
- Optimal Portfolio Diversification Using the Maximum Entropy Principle
- On possibilistic mean value and variance of fuzzy numbers
- Fuzzy portfolio optimization under downside risk measures
- Entropy model of the investment portfolio
- On weighted possibilistic mean and variance of fuzzy numbers
- Fuzzy mean-variance-skewness portfolio selection models by interval analysis
- Priced risk and asymmetric volatility in the cross section of skewness
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- Neural network-based mean-variance-skewness model for portfolio selection
- Increases in skewness and three-moment preferences
Cited In (4)
- A portfolio optimization model with three objectives and discrete variables
- A fuzzy multidimensional multiple-choice knapsack model for project portfolio selection using an evolutionary algorithm
- Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
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