Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences

DOI10.1007/S10898-019-00782-1MaRDI QIDQ2301191zbMATH OpenOpenAlexWikidataFDO

Authors A. B. Ruiz, Rubén Saborido, J. D. Bermúdez, M. Luque, E. Vercher

Publication date 28 February 2020

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10898-019-00782-1

zbMATH Keywords

portfolio selectionreference pointmultiple criteria decision-makingcredibilistic loss aversionpreference-based evolutionary multi-objective optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Recommendations

• Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
• A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
• An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity

Cites work

• scientific article; zbMATH DE number 1472777 (Why is no real title available?)
• A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
• A portfolio optimization model with three objectives and discrete variables
• A preference-based evolutionary algorithm for multiobjective optimization: the weighting achievement scalarizing function genetic algorithm
• A survey of credibility theory
• An MCDM approach to portfolio optimization.
• Evolutionary Algorithms for Solving Multi-Objective Problems
• Fuzzy portfolio optimization under downside risk measures
• Fuzzy sets as a basis for a theory of possibility
• Mean-semivariance models for fuzzy portfolio selection
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Multi-objective optimization using evolutionary algorithms
• Multicriteria decision systems for financial problems
• Multiobjective optimization. Interactive and evolutionary approaches
• Nadir Point Estimation Using Evolutionary Approaches: Better Accuracy and Computational Speed Through Focused Search
• Nonlinear multiobjective optimization
• Portfolio selection and asset pricing
• Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• g-dominance: Reference point based dominance for multiobjective metaheuristics

Cited in

(3)

• Portfolio optimization using higher moments in an uncertain random environment
• Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences
• Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization

Describes a project that uses

Uses Software

• jMetal

This page was built for publication: Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2301191)