Exact and heuristic procedures for solving the fuzzy portfolio selection problem

Authors:
J. M. Cadenas;J. V. Carrillo;M. C. Garrido;C. Ivorra;V. Liern
Affiliations:
Department of Ingeniería de la Información y Comunicaciones, Universidad de Murcia, Murcia, Spain;Department of Ingeniería de la Información y Comunicaciones, Universidad de Murcia, Murcia, Spain;Department of Ingeniería de la Información y Comunicaciones, Universidad de Murcia, Murcia, Spain;Department of Matemàtiques per a l' Economia i l'Empresa, Universitat de València, València, Spain;Department of Matemàtiques per a l' Economia i l'Empresa, Universitat de València, València, Spain
Venue:
Fuzzy Optimization and Decision Making
Year:
2012

Citing 11
Cited 0

Future paths for integer programming and links to artificial intelligence

Computers and Operations Research - Special issue: Applications of integer programming
Simulated annealing and Boltzmann machines: a stochastic approach to combinatorial optimization and neural computing

Simulated annealing and Boltzmann machines: a stochastic approach to combinatorial optimization and neural computing
Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market

Management Science
An introduction to genetic algorithms

An introduction to genetic algorithms
Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem

Fuzzy Sets and Systems - Fuzzy mathematical programming
Portfolio selection based on fuzzy probabilities and possibility distributions

Fuzzy Sets and Systems
Portfolio selection under independent possibilistic information

Fuzzy Sets and Systems - Special issue on soft decision analysis
Fuzzy Mathematical Programming: Methods and Applications

Fuzzy Mathematical Programming: Methods and Applications
Fuzzy portfolio optimization under downside risk measures

Fuzzy Sets and Systems
Hybrid Metaheuristics: An Emerging Approach to Optimization

Hybrid Metaheuristics: An Emerging Approach to Optimization
Soft-computing based heuristics for location on networks: The p-median problem

Applied Soft Computing

Quantified Score

Hi-index	0.00

Visualization

Abstract

We propose a fuzzy model for the portfolio selection problem which takes into account the vagueness of the investor's preferences regarding the assumed risk. We also describe an exact method for solving it as well as a hybrid meta-heuristic procedure which is more adequate for medium and large-sized problems or in cases in which a quick solution is needed. As an application, we solve several problems based on data from the IBEX35 index and the Spanish Stock Exchange Interconnection System.