Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm

DOI10.1016/J.INS.2012.07.005MaRDI QIDQ2249681zbMATHOpenAlexFDO

Authors Jun Li, Jiuping Xu

Publication date 3 July 2014

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2012.07.005

zbMATH Keywords

genetic algorithmsportfolio selectionfuzzy random variablemulti-objective programmingcompromise solution

Mathematics Subject Classification ID

Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.) (68T20) 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)

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Cited in

(33)

• The fuzzy characterizing function of the distribution of a random fuzzy number
• Fuzzy portfolio selection using genetic algorithm
• Interactive random fuzzy two-level programming through possibility-based probability model
• Credit portfolio management using two-level particle swarm optimization
• Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
• A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
• Fuzzy optimal portfolio selection based on multi-objective mean-variance-skewness model by using NSGA-II algorithm
• Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
• A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
• Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
• A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
• An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable
• Multiobjective expected value model for portfolio selection in fuzzy environment
• Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
• An iterative method for solving a bi-objective constrained portfolio optimization problem
• Universal portfolio selection strategy by aggregating online expert advice
• Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
• A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
• A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk
• A new quadratic deviation of fuzzy random variable and its application to portfolio optimization
• A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
• Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
• Risk-controlled multiobjective portfolio selection problem using a principle of compromise
• Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model
• Fuzzy decision making for fuzzy random multiobjective linear programming problems with variance covariance matrices
• Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty
• Geometric compromise programming: application in portfolio selection
• Central tendency for symmetric random fuzzy numbers
• Interactive fuzzy random two-level linear programming based on level sets and fractile criterion optimization
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Fuzzy multi-period portfolio selection model with discounted transaction costs
• Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints

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Uses Software

• SPEA2

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