Name
Abstract | ||
|---|---|---|
This paper proposes a new fuzzy model for portfolio selection problem, which takes into account the vagueness of the investor’s preferences. The model proposed in this paper also regards the elastic increment of decision-making risk, background risk, and other financial risks. In order to solve this model, we present a modified evolutionary algorithm called modified chaos fruit fly optimization algorithm, which is more adequate when a quick and efficient solution is needed. Numerical examples are given to illustrate the effect of the background risk on portfolio selection. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.1007/s40815-015-0017-4 | International Journal of Fuzzy Systems |
Keywords | Field | DocType |
Fuzzy portfolio model,Background risk,Elastic increment,Modified chaos fruit fly optimization algorithm | Financial risk,Mathematical optimization,Fuzzy model,Vagueness,Evolutionary algorithm,Fuzzy logic,Portfolio,Portfolio optimization,Optimization algorithm,Mathematics | Journal |
Volume | Issue | ISSN |
17 | 2 | 1562-2479 |
Citations | PageRank | References |
5 | 0.46 | 4 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Wei-Jun Xu | 1 | 154 | 14.56 |
| xiong deng | 2 | 5 | 0.46 |
| jia li | 3 | 5 | 0.46 |