Expert Systems with Applications: An International Journal
Portfolio selection based on fuzzy cross-entropy
Journal of Computational and Applied Mathematics
A review of credibilistic portfolio selection
Fuzzy Optimization and Decision Making
Generating effective defined-contribution pension plan using simulation optimization approach
Expert Systems with Applications: An International Journal
A portfolio selection model with borrowing constraint based on possibility theory
Applied Soft Computing
A class of fuzzy portfolio optimization problems: E-S models
ICSI'10 Proceedings of the First international conference on Advances in Swarm Intelligence - Volume Part II
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This paper presents the development of fuzzy portfolio selection model in investment. Fuzzy logic is utilized in the estimation of expected return and risk. Using fuzzy logic, managers can extract useful information and estimate expected return by using not only statistical data, but also economical and financial behaviors of the companies and their business strategies. In the formulated fuzzy portfolio model, fuzzy set theory provides the possibility of trade-off between risk and return. This is obtained by assigning a satisfaction degree between criteria and constraints. Using the formulated fuzzy portfolio model, a Genetic Algorithm (GA) is applied to find optimal values of risky securities. Numerical examples are given to demonstrate the effectiveness of proposed method.