A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns

Journal of Computational and Applied Mathematics

Volumn 233, Issue 2, 2009, Pages 264-278

  Li, Xiang ^a   Zhang, Yang ^b   Wong, Hau San ^b   Qin, Zhongfeng ^c  

^a TSINGHUA UNIVERSITY   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c BEIHANG UNIVERSITY   (China)

Author keywords

Credibility measure; Fuzzy simulation; Fuzzy variable; Neural network; Portfolio selection; Simulated annealing

Indexed keywords

CHANCE-CONSTRAINED PROGRAMMING MODEL; CREDIBILITY MEASURE; CREDIBILITY THEORY; ENTROPY OPTIMIZATION; EXPECTED VALUES; FUZZY SIMULATION; FUZZY VARIABLE; HYBRID INTELLIGENT ALGORITHMS; LARGE SIZES; MEAN VARIANCE MODEL; NONLINEAR OPTIMIZATION MODEL; NUMERICAL EXAMPLE; PORTFOLIO SELECTION; PORTFOLIO SELECTION MODELS; PORTFOLIO SELECTION PROBLEMS; RUNNING TIME; SIMULATED ANNEALING ALGORITHMS; TRAINING DATA;

ALGORITHMS; ANNEALING; CONSTRAINED OPTIMIZATION; FUZZY SETS; MATHEMATICAL MODELS; NEURAL NETWORKS; SIMULATORS;

SIMULATED ANNEALING;

EID: 69249213881     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2009.07.019     Document Type: Article

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