TY - GEN
T1 - A new MOPSO to solve a multi-objective portfolio selection model with fuzzy value-at-risk
AU - Wang, Bo
AU - Li, You
AU - Watada, Junzo
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
KW - Fuzzy multi-objective portfolio selection
KW - fuzzy Value-at-Risk
KW - fuzzy variable
KW - improved multi-objective particle swarm optimization algorithm
KW - Pareto-optimal set
UR - http://www.scopus.com/inward/record.url?scp=80053135327&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=80053135327&partnerID=8YFLogxK
U2 - 10.1007/978-3-642-23854-3_23
DO - 10.1007/978-3-642-23854-3_23
M3 - Conference contribution
AN - SCOPUS:80053135327
SN - 9783642238536
VL - 6883 LNAI
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 217
EP - 226
BT - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
T2 - 15th International Conference on Knowledge-Based and Intelligent Information and Engineering Systems, KES 2011
Y2 - 12 September 2011 through 14 September 2011
ER -