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

DOI10.1007/S10898-019-00782-1zbMATH Open1440.90068OpenAlexW2944554922WikidataQ127903641 ScholiaQ127903641MaRDI QIDQ2301191FDOQ2301191

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

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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)

Cites Work

• Fuzzy sets as a basis for a theory of possibility
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Nonlinear multiobjective optimization
• Nadir Point Estimation Using Evolutionary Approaches: Better Accuracy and Computational Speed Through Focused Search
• Multi-objective optimization using evolutionary algorithms
• Multiobjective optimization. Interactive and evolutionary approaches
• g-dominance: Reference point based dominance for multiobjective metaheuristics
• Evolutionary Algorithms for Solving Multi-Objective Problems
• Title not available (Why is that?)
• Fuzzy portfolio optimization under downside risk measures
• Mean-semivariance models for fuzzy portfolio selection
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
• An MCDM approach to portfolio optimization.
• A preference-based evolutionary algorithm for multiobjective optimization: the weighting achievement scalarizing function genetic algorithm
• Multicriteria decision systems for financial problems
• A portfolio optimization model with three objectives and discrete variables
• A survey of credibility theory
• Portfolio selection and asset pricing
• Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences

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

Uses Software

• jMetal

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