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

Bo Wang*, You Li, Junzo Watada

*この研究の対応する著者

    研究成果: Article査読

    3 被引用数 (Scopus)

    抄録

    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.

    本文言語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
    9
    出版ステータスPublished - 2012 9

    ASJC Scopus subject areas

    • 計算理論と計算数学
    • 情報システム
    • ソフトウェア
    • 理論的コンピュータサイエンス

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