Fuzzy evolutionary programming for portfolio selection in investment

Proceedings of the 2nd International Conference on Intelligent Processing and Manufacturing of Materials, IPMM 1999

Volumn 1, Issue , 1999, Pages 675-679

  Le, Tu Van ^a  

^a UNIVERSITY OF CANBERRA   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER PROGRAMMING; MANUFACTURE;

EXPECTED RETURN; HIGH PROBABILITY; OPTIMAL PORTFOLIOS; PORTFOLIO SELECTION;

FINANCIAL MARKETS;

EID: 84864952710     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IPMM.1999.792575     Document Type: Conference Paper

References (6)

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2. H. Konno and K. Suzuki, 1992. A fast algorithm for solving large scale mean-variance model by compact factorization of covariance matrices. J. Operations Research Society of Japan, 35, 93-1 04.
3. T. V. Le, 1996. A fuzzy evolutionary approach to constrained optimization problems. Proc. IEEE Int. Conf. On Evolutionary Computation, Nagoya, Japan, May, 274-278.
4. H. M. Markowitz, 1987. Mean-Variance Analysis in Portfolio Choice and Capital Markets, Blackell.
5. A. Perold, 1984. Large scale portfolio optimization. Management Science, 30, 1143-1 160.
6. T. Watanabe, K. Oda, J. Watada, 1998. Strategic decision of investment by a Boltzmann machine. Proc. of VJFuzzy98, HaLong Bay, Oct. , 201-208.