An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity
Summary: The major issues for mean-variance-skewness models are the errors in estimations that cause corner solutions and low diversity in the portfolio. In this paper, a multiobjective fuzzy portfolio selection model with transaction cost and liquidity is proposed to maintain the diversity of portfolio. In addition, we have designed a multiobjective evolutionary algorithm based on decomposition of the objective space to maintain the diversity of obtained solutions. The algorithm is used to obtain a set of Pareto-optimal portfolios with good diversity and convergence. To demonstrate the effectiveness of the proposed model and algorithm, the performance of the proposed algorithm is compared with the classic MOEA/D and NSGA-II through some numerical examples based on the data of the Shanghai Stock Exchange Market. Simulation results show that our proposed algorithm is able to obtain better diversity and more evenly distributed Pareto front than the other two algorithms and the proposed model can maintain quite well the diversity of portfolio. The purpose of this paper is to deal with portfolio problems in the weighted possibilistic mean-variance-skewness (MVS) and possibilistic mean-variance-skewness-entropy (MVS-E) frameworks with transaction cost and liquidity and to provide different Pareto-optimal investment strategies as diversified as possible for investors at a time, rather than one strategy for investors at a time.
- A fuzzy multiple objective optimal model for portfolio investment with transaction costs
- Fuzzy optimal portfolio selection based on multi-objective mean-variance-skewness model by using NSGA-II algorithm
- Multi-objective possibilistic model for portfolio selection with transaction cost
- Fuzzy mean-variance-skewness portfolio selection models by interval analysis
- Fuzzy multi-period portfolio selection model with discounted transaction costs
- 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
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
- Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences
- 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
This page was built for publication: An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1666014)
