Building a new portfolio selection model with technical pattern-based fuzzy birandom returns

You Li*, Bo Wang, Junzo Watada

*この研究の対応する著者

    研究成果: Conference contribution

    抄録

    Fuzzy set theory has been applied to build various portfolio selection models in the past decades. Based on the knowledge of previous studies, this paper proposes a new portfolio selection model with technical pattern-based fuzzy birandom variables. There are two innovations in the work: The concept of technical pattern is combined with fuzzy set theory to use the fuzzy birandom variables as security returns; The fuzzy birandom Value-at-Risk (VaR) is introduced to build the mathematical model, named the fuzzy birandom VaR-based portfolio selection model (FBR-PSM). Then, fuzzy simulation is extended to the fuzzy birandom case to obtain a general solution to the FBR-PSM, which is called as fuzzy birandom simulation-based particle swarm optimization algorithm (FBS-PSO). To illustrate the performances of the FBR-PSM and the FBS-PSO, two numerical examples are introduced based on investors' different risk attitudes. Finally, we analyze the experimental results and provide further discussions.

    本文言語English
    ホスト出版物のタイトルFrontiers in Artificial Intelligence and Applications
    ページ84-93
    ページ数10
    255
    DOI
    出版ステータスPublished - 2013

    出版物シリーズ

    名前Frontiers in Artificial Intelligence and Applications
    255
    ISSN(印刷版)09226389

    ASJC Scopus subject areas

    • 人工知能

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