Building a fuzzy multi-objective portfolio selection model with distinct risk measurements

You Li*, Bo Wang, Junzo Watada

*この研究の対応する著者

    研究成果: Conference contribution

    5 被引用数 (Scopus)

    抄録

    Based on portfolio selection theory, this study proposes an improved fuzzy multi-objective model that can evaluate the invest risk exactly and increase the probability of obtaining the expected return. In building the model, fuzzy Value-at-Risk (VaR) is used to evaluate the exact future risk, in term of loss. The VaR can directly reflect the greatest loss of a selection case under a given confidence level. On the other hand, variance is utilized to make the selection more stable. This model can provide investors with more significant information in decision-making. To better solve this model, an improved particle swarm optimization algorithm is designed to mitigate the conventional local convergence problem. Finally, the proposed model and algorithm are exemplified by some numerical examples. 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IEEE International Conference on Fuzzy Systems
    ページ1096-1102
    ページ数7
    DOI
    出版ステータスPublished - 2011
    イベント2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 - Taipei
    継続期間: 2011 6 272011 6 30

    Other

    Other2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011
    CityTaipei
    Period11/6/2711/6/30

    ASJC Scopus subject areas

    • ソフトウェア
    • 人工知能
    • 応用数学
    • 理論的コンピュータサイエンス

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