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

Bo Wang, You Li, Junzo Watada

    研究成果: Conference contribution

    4 被引用数 (Scopus)

    抄録

    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.

    本文言語English
    ホスト出版物のタイトルLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
    ページ217-226
    ページ数10
    6883 LNAI
    PART 3
    DOI
    出版ステータスPublished - 2011
    イベント15th International Conference on Knowledge-Based and Intelligent Information and Engineering Systems, KES 2011 - Kaiserslautern
    継続期間: 2011 9 122011 9 14

    出版物シリーズ

    名前Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
    番号PART 3
    6883 LNAI
    ISSN(印刷版)03029743
    ISSN(電子版)16113349

    Other

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

    ASJC Scopus subject areas

    • Computer Science(all)
    • Theoretical Computer Science

    フィンガープリント 「A new MOPSO to solve a multi-objective portfolio selection model with fuzzy value-at-risk」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

    引用スタイル