A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality

Information Sciences

Volumn 180, Issue 11, 2010, Pages 2264-2285

  Gupta, Pankaj ^a   Mehlawat, Mukesh Kumar ^a   Saxena, Anand ^a  

^a UNIVERSITY OF DELHI   (India)

Author keywords

Analytical hierarchy process; Cluster analysis; Fuzzy mathematical programming; Multi criteria decision making; Portfolio selection; Risk

Indexed keywords

ANALYTICAL HIERARCHY PROCESS; ASSET ALLOCATION; FUZZY MATHEMATICAL PROGRAMMING; HYBRID APPROACH; MULTI-CRITERIA DECISION MAKING; OPTIMALITY; PORTFOLIO SELECTION;

CLUSTER ANALYSIS; COMPUTER SOFTWARE SELECTION AND EVALUATION; DECISION MAKING; INVESTMENTS; MATHEMATICAL MODELS;

MATHEMATICAL PROGRAMMING;

EID: 77649337781     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2010.02.007     Document Type: Article

References (46)

1. Ammar E.E. On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem. Information Sciences 178 (2008) 468-484
2. Arenas M., Bilbao A., and Rodríguez M.V. A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research 133 (2001) 287-297
3. Bellman R., and Zadeh L.A. Decision making in a fuzzy environment. Management Science 17 (1970) 141-164
4. Bilbao-Terol A., Pérez-Gladish B., Arenas-Parra M., and Rodríguez-Uría M.V. Fuzzy compromise programming for portfolio selection. Applied Mathematics and Computation 173 (2006) 251-264
5. Bolster P.J., and Warrick S. Matching investors with suitable, optimal and investable portfolios. The Journal of Wealth Management 10 4 (2008) 53-63
6. Chen L.-H., and Huang L. Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications 36 (2009) 3720-3727
7. Dubois D., and Prade H. Possibility Theory (1988), Plenum Press, New York
8. Ehrgott M., Klamroth K., and Schwehm C. An MCDM approach to portfolio optimization. European Journal of Operational Research 155 (2004) 752-770
9. Fang Y., Lai K.K., and Wang S.-Y. Portfolio rebalancing model with transaction costs based on fuzzy decision theory. European Journal of Operational Research 175 (2006) 879-893
10. Fei W.Y. Optimal consumption and portfolio choice with ambiguity and anticipation. Information Sciences 177 (2007) 5178-5190
11. L.C. Gupta, N. Jain, U.K. Choudhury, S. Gupta, R. Sharma, P. Kaushik, M. Chopra, M.K. Tyagi, S. Jain, Indian Household Investors Survey - 2004, Society for Capital Market Research & Development, New Delhi, India, 2005. Available from: .
12. Gupta P., Mehlawat M.K., and Saxena A. Asset portfolio optimization using fuzzy mathematical programming. Information Sciences 178 (2008) 1734-1755
13. Hasuike T., Katagiri H., and Ishii H. Portfolio selection problems with random fuzzy variable returns. Fuzzy Sets and Systems 160 (2009) 2579-2596
14. Huang X. Two new models for portfolio selection with stochastic returns taking fuzzy information. European Journal of Operational Research 180 (2007) 396-405
15. Huang X. A new perspective for optimal portfolio selection with random fuzzy returns. Information Sciences 177 (2007) 5404-5414
16. Huang X. Risk curve and fuzzy portfolio selection. Computers and Mathematics with Applications 55 (2008) 1102-1112
17. Inuiguchi M., Ichihashi H., and Kume Y. A solution algorithm for fuzzy linear programming with piecewise linear membership functions. Fuzzy Sets and Systems 34 (1990) 15-31
18. Jana P., Roy T.K., and Mazumder S.K. Multi-objective possibilistic model for portfolio selection with transaction cost. Journal of Computational and Applied Mathematics 228 (2009) 188-196
19. Kaufman L., and Rousseeuw P.J. Finding Groups in Data-An Introduction to Cluster Analysis (2005), John Wiley & Sons Inc., New Jersey
20. Konno H., and Yamazaki H. Mean-absolute deviation portfolio optimization model and its applications to the Tokyo Stock Market. Management Science 37 (1991) 519-531
21. Leberling H. On finding compromise solutions in multicriteria problems using the fuzzy min-operator. Fuzzy Sets and Systems 6 (1981) 105-118
22. León T., and Liern V. A fuzzy method to repair infeasibility in linearly constrained problems. Fuzzy Sets and Systems 122 (2001) 237-243
23. Li R.J., and Stanley Lee E. An exponential membership function for fuzzy multiple objective linear programming. Computers and Mathematics with Applications 22 (1991) 55-60
24. Li J., and Xu J. A novel portfolio selection model in a hybrid uncertain environment. Omega 37 (2009) 439-449
25. Li X.-Q., Zhang B., and Li H. Computing efficient solutions to fuzzy multiple objective linear programming problems. Fuzzy Sets and Systems 157 (2006) 1328-1332
26. Lin C.C., and Liu Y.T. Genetic algorithms for portfolio selection problems with minimum transaction lots. European Journal of Operational Research 185 (2008) 393-404
27. Linstone H.A., and Turoff M. The Delphi Method: Techniques and Applications (1975), Addison Wesley, Massachusetts
28. Markowitz H.M. Portfolio selection. Journal of Finance 7 (1952) 77-91
29. Qin Z., Li X., and Ji X. Portfolio selection based on fuzzy cross-entropy. Journal of Computational and Applied Mathematics 228 (2009) 139-149
30. Saaty T.L. Fundamentals of Decision Making and Priority Theory with the AHP. second ed. (2000), RWS Publications, Pittsburg, PA
31. Scharge L. Optimization Modeling with LINDO (1997), Duxbury Press, CA
32. Scharge L. Optimization Modeling with LINGO. sixth ed. (2006), LINDO Systems Inc., Chicago, Illinois
33. Sheen J.N. Fuzzy financial profitability analyses of demand side management alternatives from participant perspective. Information Sciences 169 (2005) 329-364
34. Speranza M.G. Linear programming models for portfolio optimization. Finance 14 (1993) 107-123
35. Tiryaki F., and Ahlatcioglu B. Fuzzy portfolio selection using fuzzy analytic hierarchy process. Information Sciences 179 (2009) 53-69
36. Tiwari R.N., Dharmar S., and Rao J.R. Fuzzy goal programming-an additive model. Fuzzy Sets and Systems 24 (1987) 27-34
37. Vercher E., Bermúdez J.D., and Segura J.V. Fuzzy portfolio optimization under downside risk measures. Fuzzy Sets and Systems 158 (2007) 769-782
38. Vercher E. Portfolios with fuzzy returns: selection strategies based on semi-infinite programming. Journal of Computational and Applied Mathematics 217 (2008) 381-393
39. Watada J. Fuzzy portfolio selection and its applications to decision making. Tatra Mountains Mathematical Publications 13 (1997) 219-248
40. Zadeh L.A. Fuzzy sets. Information and Control 8 (1965) 338-353
41. Zadeh L.A. Fuzzy sets as a basis for a theory of possibility. Fuzzy Sets and Systems 1 (1978) 3-28
42. Zhang W.-G., Wang Y.-L., Chen Z.-P., and Nie Z.-K. Possibilistic mean-variance models and efficient frontiers for portfolio selection problem. Information Sciences 177 (2007) 2787-2801
43. Zhang W.-G. Possibilistic mean-standard deviation models to portfolio selection for bounded assets. Applied Mathematics and Computation 189 (2007) 1614-1623
44. Zhang W.-G., Zhang X.-L., and Xiao W.-L. Portfolio selection under possibilistic mean-variance utility and a SMO algorithm. European Journal of Operational Research 197 (2009) 693-700
45. Zimmermann H.-J. Description and optimization of fuzzy systems. International Journal of General Systems 2 (1976) 209-215
46. Zimmermann H.-J. Fuzzy programming and linear programming with several objective functions. Fuzzy Sets and Systems 1 (1978) 45-55