Representation and application of fuzzy numbers
Fuzzy Sets and Systems - Special issue: fuzzy arithmetic
A Stochastic Convergence Model for Portfolio Selection
Operations Research
Fuzzy portfolio optimization under downside risk measures
Fuzzy Sets and Systems
Geno-mathematical identification of the multi-layer perceptron
Neural Computing and Applications
A fuzzy vector valued KNN-algorithm for automatic outlier detection
Applied Soft Computing
Genetic hybrid tuning of VARMAX and state space algorithms
Soft Computing - A Fusion of Foundations, Methodologies and Applications
Simulation and Optimization in Finance + Website: Modeling with MATLAB, @Risk, or VBA
Simulation and Optimization in Finance + Website: Modeling with MATLAB, @Risk, or VBA
Green supply chain management with linguistic preferences and incomplete information
Applied Soft Computing
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In the paper the impact of the growth potential index (GPI) of risky assets and bear market safety switches in portfolio decisions is discussed. A recursive formulation based on out-of-sample time series predictions of the underlying assets is applied in the empirical testing. It is demonstrated that the multiple representations framework provides useful forecasts for portfolio management. A number of alternative forecasting methods are included. The best forecast for each individual asset serves as input to the portfolio optimization module. The recursive time series estimation-optimization system is embedded in the genetic hybrid algorithm to improve the prediction accuracy. In contrast to single-period equilibrium models, the mathematical program recognizes cardinality constraints required in institutional banking, the opportunity cost, fixed and variable transactions costs, liquidity, the risk profile of the investor and the entry/exit time for risky investments. The database consists of the daily market indexes of 12 global stock exchanges in local and Euro converted currencies based on the daily European interbank exchange rates. Time series regressions indicate that GPI-constrained recursions outperform the buy-and-hold strategy. The downside risk of the portfolio is effectively controlled by crisp or fuzzy distress indicators to switch between cash or low-risk interest bearing instruments and risky assets.