Name
Abstract | ||
|---|---|---|
In this paper, using value-at-risk, a new fuzzy portfolio selection model named VaR-FPSM is proposed. The value-at-risk is the measure of risk, which describes the greatest loss of an investment with some confidence level. When security returns are same kind of fuzzy variable, we derive two crisp equivalent forms of the VaR-FPSM. Furthermore, in general situations, we designed a fuzzy simulation based particle swarm optimization (PSO) algorithm to find an approximately optimal result. To illustrate the proposed model and hybrid PSO algorithm, a numerical example is provided and some discussions on the results are given. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1109/ICSMC.2009.5346757 | SMC |
Keywords | Field | DocType |
hybrid pso algorithm,securities trading,fuzzy set theory,security returns,portfolio selection model,fuzzy simulation,new fuzzy portfolio selection,particle swarm optimisation,crisp equivalent form,hybrid particle swarm optimization,fuzzy portfolio selection model,hybrid particle swarm optimization algorithm,general situation,risk management,greatest loss,investment,fuzzy variable,value-at-risk,confidence level,numerical example,var-fpsm,data mining,mathematical model,security,reactive power,value at risk,investments | Neuro-fuzzy,Mathematical optimization,Fuzzy classification,Defuzzification,Fuzzy set operations,Computer science,Fuzzy logic,Fuzzy transportation,Fuzzy set,Fuzzy number | Conference |
ISSN | ISBN | Citations |
1062-922X E-ISBN : 978-1-4244-2794-9 | 978-1-4244-2794-9 | 4 |
PageRank | References | Authors |
0.43 | 5 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Bo Wang | 1 | 47 | 3.95 |
| Shuming Wang | 2 | 229 | 15.96 |
| Junzo Watada | 3 | 411 | 84.53 |