A new MOPSO to solve a multi-objective portfolio selection model with fuzzy value-at-risk

Bo Wang, You Li, Junzo Watada

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    4 Citations (Scopus)

    Abstract

    This study proposes an novel fuzzy multi-objective model that can evaluate the invest risk properly and increase the probability of obtaining the expected return. In building the model, fuzzy Value-at-Risk is used to evaluate the exact future risk, in term of loss. And, variance is utilized to make the selection more stable. This model can provide investors with more significant information in decision-making. To solve this model, a new Pareto-optimal set based multi-objective particle swarm optimization algorithm is designed to obtain better solutions among the Pareto-front. At the end of this study, the proposed model and algorithm are exemplified by one numerical example. Experiment results show that the model and algorithm are effective in solving the multi-objective portfolio selection problem.

    Original languageEnglish
    Title of host publicationLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
    Pages217-226
    Number of pages10
    Volume6883 LNAI
    EditionPART 3
    DOIs
    Publication statusPublished - 2011
    Event15th International Conference on Knowledge-Based and Intelligent Information and Engineering Systems, KES 2011 - Kaiserslautern
    Duration: 2011 Sep 122011 Sep 14

    Publication series

    NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
    NumberPART 3
    Volume6883 LNAI
    ISSN (Print)03029743
    ISSN (Electronic)16113349

    Other

    Other15th International Conference on Knowledge-Based and Intelligent Information and Engineering Systems, KES 2011
    CityKaiserslautern
    Period11/9/1211/9/14

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    Keywords

    • Fuzzy multi-objective portfolio selection
    • fuzzy Value-at-Risk
    • fuzzy variable
    • improved multi-objective particle swarm optimization algorithm
    • Pareto-optimal set

    ASJC Scopus subject areas

    • Computer Science(all)
    • Theoretical Computer Science

    Cite this

    Wang, B., Li, Y., & Watada, J. (2011). A new MOPSO to solve a multi-objective portfolio selection model with fuzzy value-at-risk. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (PART 3 ed., Vol. 6883 LNAI, pp. 217-226). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 6883 LNAI, No. PART 3). https://doi.org/10.1007/978-3-642-23854-3_23