An integrated multi-objective Markowitz-DEA cross-efficiency model with fuzzy returns for portfolio selection problem

被引：77

作者：

Mashayekhi, Zahra ^{[1
]}

Omrani, Hashem ^{[1
]}

机构：

[1] Urmia Univ Technol, Fac Ind Engn, Orumiyeh, Iran

来源：

APPLIED SOFT COMPUTING | 2016年 / 38卷

关键词：

Portfolio selection; Markowitz's mean-variance model; Data envelopment analysis (DEA); Fuzzy numbers; Non dominated sorting genetic algorithm II (NSGA-II); DATA ENVELOPMENT ANALYSIS; REBALANCING MODEL; OPTIMIZATION; VARIANCE; CONSTRAINTS;

D O I：

10.1016/j.asoc.2015.09.018

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 novel multi objective model is proposed for portfolio selection. The proposed model incorporates the DEA cross-efficiency into Markowitz mean-variance model and considers return, risk and efficiency of the portfolio. Also, in order to take uncertainty in proposed model, the asset returns are considered as trapezoidal fuzzy numbers. Due to the computational complication of the proposed model, the second version of non-dominated sorting genetic algorithm (NSGA-II) is applied. To illustrate the performance of our model, the model is implemented for 52 firms listed in stock exchange market of Iran and the results are analyzed. The results show that the proposed model is suitable in compared with Markowitz and DEA models due to considering return, risk and efficiency, simultaneously. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：1 / 9

页数：9

共 40 条

[1] A portfolio optimization model with three objectives and discrete variables [J].