A mean-absolute deviation-skewness portfolio optimization model
Annals of Operations Research
Computation of mean-semivariance efficient sets by the Critical Line Algorithm
Annals of Operations Research
A model for portfolio selection with order of expected returns
Computers and Operations Research
Portfolio selection based on fuzzy probabilities and possibility distributions
Fuzzy Sets and Systems
Theory and Practice of Uncertain Programming
Theory and Practice of Uncertain Programming
A possibilistic approach to selecting portfolios with highest utility score
Fuzzy Sets and Systems - Special issue: Soft decision analysis
Sparse bayesian learning and the relevance vector machine
The Journal of Machine Learning Research
Neural network-based mean-variance-skewness model for portfolio selection
Computers and Operations Research
Asset portfolio optimization using fuzzy mathematical programming
Information Sciences: an International Journal
Portfolio selection with fuzzy returns
Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology
Mean-semivariance models for fuzzy portfolio selection
Journal of Computational and Applied Mathematics
Portfolio selection based on fuzzy cross-entropy
Journal of Computational and Applied Mathematics
Expected value of fuzzy variable and fuzzy expected value models
IEEE Transactions on Fuzzy Systems
Convergent results about the use of fuzzy simulation in fuzzy optimization problems
IEEE Transactions on Fuzzy Systems
Mean-Entropy Models for Fuzzy Portfolio Selection
IEEE Transactions on Fuzzy Systems
A new MOPSO to solve a multi-objective portfolio selection model with fuzzy value-at-risk
KES'11 Proceedings of the 15th international conference on Knowledge-based and intelligent information and engineering systems - Volume Part III
Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
Information Sciences: an International Journal
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Within the framework of credibility theory, several fuzzy portfolio selection models have been researched such as mean-variance model, chance constrained programming model, entropy optimization model and so on. However, all of them are proposed in the forms of single-objective programming, and there is no investigation on the transaction costs between the new portfolio and the existing one. In this paper, a fuzzy multi-objective mean-variance-skewness model with transaction costs is presented. In order to solve this model, a hybrid intelligent algorithm is designed by integrating simulated annealing algorithm, relevance vector machine and fuzzy simulation techniques, where the relevance vector machine is used to approximate the expected value, variance and skewness of portfolio returns and the fuzzy simulation is used to generate the training data for relevance vector machine.