Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
DOI10.1016/J.INS.2012.07.005zbMATH Open1291.91194OpenAlexW2032475783MaRDI QIDQ2249681FDOQ2249681
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
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genetic algorithmsportfolio selectionfuzzy random variablemulti-objective programmingcompromise solution
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)
Cited In (29)
- An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable
- A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk
- A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
- The fuzzy characterizing function of the distribution of a random fuzzy number
- Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
- A new quadratic deviation of fuzzy random variable and its application to portfolio optimization
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- Fuzzy decision making for fuzzy random multiobjective linear programming problems with variance covariance matrices
- Universal portfolio selection strategy by aggregating online expert advice
- Interactive fuzzy random two-level linear programming based on level sets and fractile criterion optimization
- Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
- Geometric compromise programming: application in portfolio selection
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints
- Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
- Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
- Interactive random fuzzy two-level programming through possibility-based probability model
- Credit portfolio management using two-level particle swarm optimization
- Fuzzy portfolio selection using genetic algorithm
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- Central tendency for symmetric random fuzzy numbers
- Fuzzy multi-period portfolio selection model with discounted transaction costs
- Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model
- Multi-period portfolio selection with dynamic risk/expected-return level under fuzzy random uncertainty
- An iterative method for solving a bi-objective constrained portfolio optimization problem
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
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