A fuzzy multi-objective portfolio selection model with transaction cost and liquidity

被引：1
|
作者：
Yue, Wei [1 ]
Wang, Yuping [1 ]
机构：
[1] Xidian Univ, Sch Comp Sci & Technol, Xian 710071, Shannxi, Peoples R China
来源：
2015 11TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND SECURITY (CIS) | 2015年
关键词：
Portfolio selection; Possibilistic moments; Entropy; Multi-objective evolutionary algorithm; ALGORITHM;
D O I：
10.1109/CIS.2015.70
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, a new proportion entropy function is proposed as an objective function to obtain a well-diversified portfolio. Secondly, a new fuzzy multi-objective portfolio selection model based on the proposed entropy function is presented. By using the model, we can find tradeoffs between risk, return and the diversification degree of portfolio. Thirdly, a new multi-objective evolutionary algorithm is designed to solve the proposed model. Finally, some numerical examples are presented to illustrate the effectiveness of the proposed model and the corresponding algorithm.
引用
收藏
页码：258 / 261
页数：4
相关论文
共 50 条
  • [31] Anticipatory Stochastic Multi-Objective Optimization for Uncertainty Handling in Portfolio Selection
    Azevedo, Carlos R. B.
    Von Zuben, Fernando J.
    2013 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION (CEC), 2013, : 157 - 164
  • [32] Regret theory-based fuzzy multi-objective portfolio selection model involving DEA cross-efficiency and higher moments
    Gong, Xiaomin
    Yu, Changrui
    Min, Liangyu
    Ge, Zhipeng
    APPLIED SOFT COMPUTING, 2021, 100
  • [33] Research on Portfolio Model Based on Multi-Objective Genetic Algorithm
    Lin, Haonan
    PROCEEDINGS OF THE 2016 4TH INTERNATIONAL CONFERENCE ON ELECTRICAL & ELECTRONICS ENGINEERING AND COMPUTER SCIENCE (ICEEECS 2016), 2016, 50 : 992 - 997
  • [34] Research on Fuzzy Multi-objective Multi-period Portfolio by Hybrid Genetic Algorithm with Wavelet Neural Network
    Yu, Yechun
    Deng, Xue
    Chen, Chuangjie
    Cheng, Kai
    ENGINEERING LETTERS, 2020, 28 (02) : 594 - 600
  • [35] Multi-period and Multi-objective Stock Selection Optimization Model Based on Fuzzy Interval Approach
    Kameli, A.
    Javadian, N.
    Daghbandan, A.
    INTERNATIONAL JOURNAL OF ENGINEERING, 2019, 32 (09): : 1306 - 1311
  • [36] Multi-objective decision analysis for competence-oriented project portfolio selection
    Gutjahr, Walter J.
    Katzensteiner, Stefan
    Reiter, Peter
    Stummer, Christian
    Denk, Michaela
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 205 (03) : 670 - 679
  • [37] A novel approach to incorporate investor's preference in fuzzy multi-objective portfolio selection problem using credibility measure
    Jalota, Hemant
    Mandal, Pawan Kumar
    Thakur, Manoj
    Mittal, Garima
    EXPERT SYSTEMS WITH APPLICATIONS, 2023, 212
  • [38] An integrated multi-criteria decision-making and multi-objective optimization model for socially responsible portfolio selection
    Wu, Qun
    Liu, Xinwang
    Qin, Jindong
    Zhou, Ligang
    Mardani, Abbas
    Deveci, Muhammet
    TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 2022, 184
  • [39] Interval multi-objective programming methods for solving multi-period portfolio selection problems
    Sun J.
    Xiong Y.
    Zhang H.
    Liu Z.-P.
    Kongzhi yu Juece/Control and Decision, 2020, 35 (03): : 645 - 650
  • [40] Nadir compromise programming: A model for optimization of multi-objective portfolio problem
    Amiri, Maghsoud
    Ekhtiari, Mostafa
    Yazdani, Mehdi
    EXPERT SYSTEMS WITH APPLICATIONS, 2011, 38 (06) : 7222 - 7226
12345