A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality

Authors:
Pankaj Gupta;Mukesh Kumar Mehlawat;Anand Saxena
Affiliations:
Department of Operational Research, University of Delhi, Delhi, India;Department of Operational Research, University of Delhi, Delhi, India;Institute of Life Long Learning, University of Delhi, Delhi, India
Venue:
Information Sciences: an International Journal
Year:
2010

Citing 19
Cited 6

Fuzzy goal programming- an additive model

Fuzzy Sets and Systems
A solution algorithm for fuzzy linear programming with piecewise linear membership functions

Fuzzy Sets and Systems
Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market

Management Science
Fuzzy sets as a basis for a theory of possibility

Fuzzy Sets and Systems
Fuzzy financial profitability analyses of demand side management alternatives from participant perspective

Information Sciences—Informatics and Computer Science: An International Journal
Fuzzy portfolio optimization under downside risk measures

Fuzzy Sets and Systems
Possibilistic mean-variance models and efficient frontiers for portfolio selection problem

Information Sciences: an International Journal
A new perspective for optimal portfolio selection with random fuzzy returns

Information Sciences: an International Journal
Optimal consumption and portfolio choice with ambiguity and anticipation

Information Sciences: an International Journal
On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem

Information Sciences: an International Journal
Asset portfolio optimization using fuzzy mathematical programming

Information Sciences: an International Journal
Risk curve and fuzzy portfolio selection

Computers & Mathematics with Applications
Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

Journal of Computational and Applied Mathematics
Fuzzy portfolio selection using fuzzy analytic hierarchy process

Information Sciences: an International Journal
Portfolio optimization of equity mutual funds with fuzzy return rates and risks

Expert Systems with Applications: An International Journal
Multi-objective possibilistic model for portfolio selection with transaction cost

Journal of Computational and Applied Mathematics
Portfolio selection based on fuzzy cross-entropy

Journal of Computational and Applied Mathematics
Portfolio selection problems with random fuzzy variable returns

Fuzzy Sets and Systems
Computing efficient solutions to fuzzy multiple objective linear programming problems

Fuzzy Sets and Systems

A hybrid approach for constructing suitable and optimal portfolios

Expert Systems with Applications: An International Journal
SINVLIO: Using semantics and fuzzy logic to provide individual investment portfolio recommendations

Knowledge-Based Systems
PB-ADVISOR: A private banking multi-investment portfolio advisor

Information Sciences: an International Journal
Asset portfolio optimization using support vector machines and real-coded genetic algorithm

Journal of Global Optimization
Hybrid optimization models of portfolio selection involving financial and ethical considerations

Knowledge-Based Systems
Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

Information Sciences: an International Journal

Quantified Score

Hi-index	0.07

Visualization

Abstract

In this paper, we develop mathematical models for simultaneous consideration of suitability and optimality in asset allocation. We use a hybrid approach that combines behavior survey, cluster analysis, analytical hierarchy process and fuzzy mathematical programming.