Fuzzy multi-objective portfolio model based on semi-variance–semi-absolute deviation risk measures

The risk measure plays an important role for portfolio selection problem. The lower partial risk (downside risk) measures have been considered to be more in line with investor’s attitude toward risk. The purpose of this paper is to construct a portfolio selection model in the lower partial risk fram...

Full description

Saved in:

Bibliographic Details
Published in:	Soft computing (Berlin, Germany) Vol. 23; no. 17; pp. 8159 - 8179
Main Authors:	Yue, Wei, Wang, Yuping, Xuan, Hejun
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.09.2019 Springer Nature B.V
Subjects:	Artificial Intelligence Asset allocation Computational Intelligence Constraint modelling Control Costs Decision making Deviation Engineering Evolutionary algorithms Expected values Fuzzy sets Genetic algorithms Integer programming Investors Linear programming Mathematical Logic and Foundations Mechatronics Methodologies and Application Multiple objective analysis Optimization Risk Robotics Stock exchanges Variance LR-fuzzy variable Possibilistic moments Portfolio selection Multi-objective evolutionary algorithm The lower partial risk measures
ISSN:	1432-7643, 1433-7479
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!