Linear programming with fuzzy objectives
Fuzzy Sets and Systems
On the Symmetric and Unsymmetric Solution Set of Interval Systems
SIAM Journal on Matrix Analysis and Applications
Fuzzy sets as a basis for a theory of possibility
Fuzzy Sets and Systems
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
Risk curve and fuzzy portfolio selection
Computers & Mathematics with Applications
Mean-semivariance models for fuzzy portfolio selection
Journal of Computational and Applied Mathematics
Mean-Entropy-Skewness Fuzzy Portfolio Selection by Credibility Theory Approach
PReMI '09 Proceedings of the 3rd International Conference on Pattern Recognition and Machine Intelligence
Advances and challenges in interval-valued fuzzy logic
Fuzzy Sets and Systems
A class of linear interval programming problems and its application to portfolio selection
IEEE Transactions on Fuzzy Systems
A new framework for assets selection based on dimensions reduction techniques
KES'11 Proceedings of the 15th international conference on Knowledge-based and intelligent information and engineering systems - Volume Part II
Evaluation of stock trading performance of students using a web-based virtual stock trading system
Computers & Mathematics with Applications
Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
Information Sciences: an International Journal
Some new results on value ranges of risks for mean-variance portfolio models
Information Sciences: an International Journal
Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
Information Sciences: an International Journal
| Hi-index | 0.09 |
In portfolio selection problem, the expected return, risk, liquidity etc. cannot be predicted precisely. The investor generally makes his portfolio decision according to his experience and his economic wisdom. So, deterministic portfolio selection is not a good choice for the investor. In most of the recent works on this problem, fuzzy set theory is widely used to model the problem in uncertain environments. This paper utilizes the concept of interval numbers in fuzzy set theory to extend the classical mean-variance (MV) portfolio selection model into mean-variance-skewness (MVS) model with consideration of transaction cost. In addition, some other criteria like short and long term returns, liquidity, dividends, number of assets in the portfolio and the maximum and minimum allowable capital invested in stocks of any selected company are considered. Three different models have been proposed by defining the future financial market optimistically, pessimistically and in the combined form to model the fuzzy MVS portfolio selection problem. In order to solve the models, fuzzy simulation (FS) and elitist genetic algorithm (EGA) are integrated to produce a more powerful and effective hybrid intelligence algorithm (HIA). Finally, our approaches are tested on a set of stock data from Bombay Stock Exchange (BSE).