Multiobjective Investment Policy for a Nonlinear Stochastic Financial System: A Fuzzy Approach

The financial market always suffers from continuous and discontinuous (jump) changes and can be regarded as a nonlinear stochastic jump diffusion system. Most investors expect their investment policies to be not only higher benefits but also lower risk as a multiobjective optimization problem (MOP)....

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Veröffentlicht in:	IEEE transactions on fuzzy systems Jg. 25; H. 2; S. 460 - 474
Hauptverfasser:	Wu, Chien-Feng, Chen, Bor-Sen, Zhang, Weihai
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	IEEE 01.04.2017
Schlagworte:	Indexes Investment Linear-matrix-inequality (LMI)-constrained multiobjective evolution algorithm (MOEA) Mathematical model multiobjective <named-content xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:ali="http://www.niso.org/schemas/ali/1.0/" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" content-type="math" xlink:type="simple"> <inline-formula> <tex-math notation="LaTeX"> H_{2}/H_{\infty } </tex-math> </inline-formula> </named-content> fuzzy investment policy nonlinear stochastic jump diffusion system Pareto optimality Pareto optimization Robustness stochastic financial system Stochastic processes Takagi–Sugeno (T–S) fuzzy model
ISSN:	1063-6706, 1941-0034
Online-Zugang:	Volltext
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