Multiobjective particle swarm optimization for a novel fuzzy portfolio selection problem

Bo Wang*, Junzo Watada

*この研究の対応する著者

    研究成果: Article査読

    14 被引用数 (Scopus)

    抄録

    On the basis of the portfolio selection theory, this paper proposes a novel fuzzy multiobjective model that can evaluate investment risk properly and increase the probability of obtaining an expected return. In building this model, fuzzy value-at-risk (VaR) is used to evaluate the exact future risk in terms of loss. The VaR can directly reflect the greatest loss of a selection case under a given confidence level. Conversely, variance, the measure of the spread of a distribution around its expected value, is utilized to make the selection more stable. This model can provide investors with more significant information for decision making. To solve this model, an improved Pareto-optimal-set-based multiobjective particle swarm optimization (IMOPSO) algorithm is designed to obtain better solutions in the Pareto front. The proposed model and algorithm are exemplified by specific numerical examples. Furthermore, comparisons are made between IMOPSO and other existing approaches. Experiments show that the model and algorithm are effective in solving the multiobjective portfolio selection problem.

    本文言語English
    ページ(範囲)146-154
    ページ数9
    ジャーナルIEEJ Transactions on Electrical and Electronic Engineering
    8
    2
    DOI
    出版ステータスPublished - 2013 3月

    ASJC Scopus subject areas

    • 電子工学および電気工学

    フィンガープリント

    「Multiobjective particle swarm optimization for a novel fuzzy portfolio selection problem」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