An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity
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Publication:1666014
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Cites work
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Diversified portfolios with different entropy measures
- Elementary fuzzy calculus
- Entropy model of the investment portfolio
- Fuzzy mean-variance-skewness portfolio selection models by interval analysis
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Fuzzy portfolio optimization under downside risk measures
- Fuzzy turnover rate chance constraints portfolio model
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- Increases in skewness and three-moment preferences
- Multi-objective optimization using evolutionary algorithms
- Multi-objective possibilistic model for portfolio selection with transaction cost
- Neural network-based mean-variance-skewness model for portfolio selection
- On possibilistic mean value and variance of fuzzy numbers
- On weighted possibilistic mean and variance of fuzzy numbers
- Optimal Portfolio Diversification Using the Maximum Entropy Principle
- Priced risk and asymmetric volatility in the cross section of skewness
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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