A distance-based PSO approach to solve fuzzy MOPSM with distinct risk measurements

Bo Wang, You Li, Junzo Watada

    研究成果: Article

    3 引用 (Scopus)

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    In this study, we propose an improved fuzzy multi-objective portfolio se-lection model (VaR-MOPSM) with distinct risk measurements. The VaR-MOPSM can precisely evaluate the investment and increase the probability of obtaining the expected return. When building the model, fuzzy Value-at-Risk (VaR), which can directly reflect the greatest loss of a selection case under a given confidence level, is used to measure the exact future risk in term of loss. Conversely, variance is utilized to make the selection more stable. In this case, the proposed VaR-MOPSM can provide investors with more significant information for decision-making. To solve this model, we designed a distance based particle swarm optimization algorithm. Finally, the proposed model and algorithm are exemplified by some numerical examples. The experimental results show that the model and algorithm are effective in solving the fuzzy VaR-MOPSM.

    元の言語English
    ページ(範囲)6191-6203
    ページ数13
    ジャーナルInternational Journal of Innovative Computing, Information and Control
    8
    発行部数9
    出版物ステータスPublished - 2012 9

      フィンガープリント

    ASJC Scopus subject areas

    • Computational Theory and Mathematics
    • Information Systems
    • Software
    • Theoretical Computer Science

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