Title
A polynomial goal programming approach for intuitionistic fuzzy portfolio optimization using entropy and higher moments
Abstract
Although there are myriad works that deal with fuzzy portfolio optimization, there is a dearth of research that deals with the problem in an intuitionistic fuzzy environment. So, taking the route less travelled, we propose two intuitionistic fuzzy portfolio selection models for optimistic and pessimistic scenarios, respectively. For this purpose, we take into account four objectives, namely return, variance, skewness and entropy, along with some realistic constraints such as a cardinality constraint, a contingent constraint, and complete capital utilization. Also, short selling is prohibited. Another popular constraint, the “floor and ceiling” constraint, is presented and employed in the form of a flexible constraint by considering the confidence interval in the model. The membership and non-membership of the objectives are modelled using the extreme values of the four objectives. The proposed approach provides avenues for the inclusion and minimization of the hesitation degree into the decision making, thereby, resulting in a significantly better portfolio. The proposed model enables the decision makers to obtain a variety of results through the use of several schemes that can be postulated (customized) according to the decision makers’ preferences, and from which, results best suited to their preferences, can be chosen. A numerical illustration with eight different schemes is presented to demonstrate the virtues of the proposed model.
Year
DOI
Venue
2019
10.1016/j.asoc.2019.105781
Applied Soft Computing
Keywords
Field
DocType
Multi-objective optimization,Portfolio optimization,Higher moments,Goal programming,Intuitionistic fuzzy,Entropy
Mathematical optimization,Skewness,Polynomial,Fuzzy logic,Cardinality,Portfolio,Portfolio optimization,Minification,Goal programming,Mathematics
Journal
Volume
ISSN
Citations 
85
1568-4946
1
PageRank 
References 
Authors
0.35
0
4
Name
Order
Citations
PageRank
Pankaj Gupta11479133.85
Mukesh Kumar Mehlawat227522.90
Sanjay Yadav361.77
Arun Kumar462.11