A novel hybrid heuristic algorithm for a new uncertain mean-variance-skewness portfolio selection model with real constraints

This paper discusses a portfolio selection problem under the mean-variance-skewness framework wherein the security returns are obtained through evaluation of the experts instead of historical data. By treating security returns as the uncertain variables, an uncertain mean-variance-skewness model is...

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Bibliographic Details
Published in:	Applied intelligence (Dordrecht, Netherlands) Vol. 48; no. 9; pp. 2996 - 3018
Main Authors:	Chen, Wei, Wang, Yun, Gupta, Pankaj, Mehlawat, Mukesh Kumar
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.09.2018 Springer Nature B.V
Subjects:	Algorithms Artificial Intelligence Computer Science Constraint modelling Cybersecurity Economic models Genetic algorithms Heuristic methods Integer programming Machines Manufacturing Mechanical Engineering Portfolio management Processes Skewness Variance Minimum transaction lots Portfolio selection Uncertain variable Uncertainty modeling FA-GA algorithm
ISSN:	0924-669X, 1573-7497
Online Access:	Get full text
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