Exact and heuristic procedures for solving the fuzzy portfolio selection problem

被引：7

作者：

Cadenas, J. M. ^{[2
]}

Carrillo, J. V. ^{[2
]}

Garrido, M. C. ^{[2
]}

Ivorra, C. ^{[1
]}

Liern, V. ^{[1
]}

机构：

[1] Univ Valencia, Dept Matemat Econ & Empresa, Valencia, Spain

[2] Univ Murcia, Dept Ingn Informac & Comunicac, Murcia, Spain

来源：

FUZZY OPTIMIZATION AND DECISION MAKING | 2012年 / 11卷 / 01期

关键词：

Fuzzy mathematical programming; Portfolio selection; Heuristic strategies; Genetic algorithms; OPTIMIZATION;

D O I：

10.1007/s10700-011-9114-5

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

We propose a fuzzy model for the portfolio selection problem which takes into account the vagueness of the investor's preferences regarding the assumed risk. We also describe an exact method for solving it as well as a hybrid meta-heuristic procedure which is more adequate for medium and large-sized problems or in cases in which a quick solution is needed. As an application, we solve several problems based on data from the IBEX35 index and the Spanish Stock Exchange Interconnection System.

引用

页码：29 / 46

页数：18

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