Building a new portfolio selection model with technical pattern-based fuzzy birandom returns

You Li, Bo Wang, Junzo Watada

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

    Abstract

    Fuzzy set theory has been applied to build various portfolio selection models in the past decades. Based on the knowledge of previous studies, this paper proposes a new portfolio selection model with technical pattern-based fuzzy birandom variables. There are two innovations in the work: The concept of technical pattern is combined with fuzzy set theory to use the fuzzy birandom variables as security returns; The fuzzy birandom Value-at-Risk (VaR) is introduced to build the mathematical model, named the fuzzy birandom VaR-based portfolio selection model (FBR-PSM). Then, fuzzy simulation is extended to the fuzzy birandom case to obtain a general solution to the FBR-PSM, which is called as fuzzy birandom simulation-based particle swarm optimization algorithm (FBS-PSO). To illustrate the performances of the FBR-PSM and the FBS-PSO, two numerical examples are introduced based on investors' different risk attitudes. Finally, we analyze the experimental results and provide further discussions.

    Original languageEnglish
    Title of host publicationFrontiers in Artificial Intelligence and Applications
    Pages84-93
    Number of pages10
    Volume255
    DOIs
    Publication statusPublished - 2013

    Publication series

    NameFrontiers in Artificial Intelligence and Applications
    Volume255
    ISSN (Print)09226389

    Keywords

    • Fuzzy birandom simulation
    • Fuzzy birandom variable
    • Fuzzy portfolio selection
    • Technical pattern

    ASJC Scopus subject areas

    • Artificial Intelligence

    Fingerprint Dive into the research topics of 'Building a new portfolio selection model with technical pattern-based fuzzy birandom returns'. Together they form a unique fingerprint.

  • Cite this

    Li, Y., Wang, B., & Watada, J. (2013). Building a new portfolio selection model with technical pattern-based fuzzy birandom returns. In Frontiers in Artificial Intelligence and Applications (Vol. 255, pp. 84-93). (Frontiers in Artificial Intelligence and Applications; Vol. 255). https://doi.org/10.3233/978-1-61499-264-6-84