Paper Info
Title
A Improved Algorithm For Fuzzy Multistage Portfolio Optimization Model
Abstract
This paper presents an improved algorithm for multistage portfolio optimization model in fuzzy environment. Firstly, the basic multistage portfolio selection problem is introduced by using multiple criteria, including investment return, transaction cost and risk. Then, a TOPSIS compromised programming (TOPSCP) approach is designed to transform the proposed model into single objective model. Finally, a genetic algorithm is devised for obtaining optimal solutions. Furthermore, a numerical example is given to illustrate the advantages of the algorithm.
Year
Venue
Keywords
2016
2016 IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ-IEEE)
fuzzy portfolio, multistage portfolio, optimization model, algorithm
Field
DocType
ISSN
Transaction cost,Mathematical optimization,Algorithm design,Computer science,Meta-optimization,Fuzzy logic,Algorithm,Portfolio,Portfolio optimization,TOPSIS,Genetic algorithm
Conference
1544-5615
Citations 
PageRank 
References 
1
0.34
11
Authors
2
Name
Order
Citations
PageRank
Guang Yang1195.90
Xinwang Liu22355140.38