Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints

DOI10.1016/J.MATCOM.2022.05.021OpenAlexW4282010272WikidataQ113869138 ScholiaQ113869138MaRDI QIDQ2168097FDOQ2168097

Authors Xue Deng, Jiaxing Chen, Xu Wang, Fengting Geng

Publication date 31 August 2022

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2022.05.021

zbMATH Keywords

entropyportfoliomulti-objective programmingcardinality constraintnon-dominated sorting genetic algorithm-II

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

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Cites work

• scientific article; zbMATH DE number 4108183 (Why is no real title available?)
• A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
• A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
• A two-stage solution method for the annual dairy transportation problem
• An MCDM approach to portfolio optimization.
• Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
• Fuzzy portfolio optimization under downside risk measures
• Fuzzy portfolio selection problem with different borrowing and lending rates
• Genetic algorithms for portfolio selection problems with minimum transaction lots
• Measures of entropy and fuzziness related to aggregation operators
• Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
• Multi-objective possibilistic model for portfolio selection with transaction cost
• On possibilistic mean value and variance of fuzzy numbers
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Portfolio selection based on upper and lower exponential possibility distributions
• Risk management strategies via minimax portfolio optimization
• Uncertainty theory
• Variance vs downside risk: Is there really that much difference?

Cited in

(1)

• scientific article; zbMATH DE number 5147449 (Why is no real title available?)

Describes a project that uses

Uses Software

• MOEA/D
• SPEA2

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