A fuzzy control model (FCM) for dynamic portfolio management
Fuzzy Sets and Systems
Portfolio selection under independent possibilistic information
Fuzzy Sets and Systems - Special issue on soft decision analysis
Fuzzy Sets and Systems: Theory and Applications
Fuzzy Sets and Systems: Theory and Applications
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
SIAM Journal on Control and Optimization
A possibilistic approach to selecting portfolios with highest utility score
Fuzzy Sets and Systems - Special issue: Soft decision analysis
Information Sciences—Informatics and Computer Science: An International Journal
Constraint handling in genetic algorithms using a gradient-based repair method
Computers and Operations Research
Robust multiperiod portfolio management in the presence of transaction costs
Computers and Operations Research
Multi-period portfolio optimization with linear control policies
Automatica (Journal of IFAC)
A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
Automatica (Journal of IFAC)
The possibilistic moments of fuzzy numbers and their applications
Journal of Computational and Applied Mathematics
An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
SIAM Journal on Control and Optimization
A stochastic soft constraints fuzzy model for a portfolio selection problem
Fuzzy Sets and Systems
Optimal portfolios with regime switching and value-at-risk constraint
Automatica (Journal of IFAC)
Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization
Expert Systems with Applications: An International Journal
Fuzzy multi period portfolio selection with different rates for borrowing and lending
Applied Soft Computing
Mean-risk model for uncertain portfolio selection
Fuzzy Optimization and Decision Making
Mean-Entropy Models for Fuzzy Portfolio Selection
IEEE Transactions on Fuzzy Systems
| Hi-index | 22.14 |
To simulate the real transactions in financial market, multiple decision criteria in portfolio selection should be considered to provide investors with additional choices. This paper deals with multi-period portfolio selection problems in fuzzy environment by considering some or all criteria, including return, transaction cost, risk and skewness of portfolio. Two possibilistic portfolio optimization models by using multiple criteria are first presented for the basic multi-period portfolio selection problem. Then, they are naturally extended to dynamic feedback models with closed-loop control policies. A TOPSIS-compromised programming approach is designed originally to transform the proposed models into single objective models. After that, a genetic algorithm is devised for obtaining optimal solutions. Furthermore, a numerical example is given to illustrate the advantage of the proposed models and the efficiency of the designed algorithm over the existing approaches.