Name
Abstract | ||
|---|---|---|
Using the central value operator and the semi-dispersion measure of fuzzy number, this paper proposes the definitions of the lower and upper semi-variances. A general multiperiod fuzzy portfolio optimization model with return demand on the portfolio at each period is proposed with the objectives of maximizing both terminal wealth and the cumulative diversification degree of portfolios over the whole investment horizon, and minimizing terminal risk. A fuzzy multiobjective nonlinear programming technique is applied to convert the proposed model into a single-objective model. A genetic algorithm (GA) is given to solve it. Besides, a numerical example is given to illustrate the application of the proposed model and the effectiveness of the designed algorithm. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1142/S0219622018500190 | INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING |
Keywords | Field | DocType |
Multiperiod portfolio selection, possibility theory, central value operator, entropy, multiobjective programming | Data mining,Mathematical optimization,Nonlinear programming,Fuzzy logic,Possibility theory,Portfolio,Portfolio optimization,Operator (computer programming),Fuzzy number,Genetic algorithm,Mathematics | Journal |
Volume | Issue | ISSN |
17 | 3 | 0219-6220 |
Citations | PageRank | References |
1 | 0.35 | 22 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yong-Jun Liu | 1 | 138 | 5.81 |
| Wei-Guo Zhang | 2 | 557 | 39.22 |