Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

Information Sciences

Volumn 229, Issue , 2013, Pages 1-17

  Gupta, Pankaj ^a   Inuiguchi, Masahiro ^b   Mehlawat, Mukesh Kumar ^c   Mittal, Garima ^a  

^a UNIVERSITY OF DELHI   (India)

^b OSAKA UNIVERSITY   (Japan)

^c Apeejay School of Management ^*  (India)

Author keywords

Chance constrained programming; Credibility measure; Fuzzy portfolio selection; Multiobjective programming; Real coded genetic algorithm

Indexed keywords

CHANCE-CONSTRAINED PROGRAMMING; CREDIBILITY MEASURE; MULTIOBJECTIVE PROGRAMMING; PORTFOLIO SELECTION; REAL-CODED GENETIC ALGORITHM;

ARTIFICIAL INTELLIGENCE; SOFTWARE ENGINEERING;

COMPUTER PROGRAMMING;

EID: 84873307930     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2012.12.011     Document Type: Article

References (52)

1. K.P. Anagnostopoulos, and G. Mamanis A portfolio optimization model with three objectives and discrete variables Computers & Operations Research 37 2010 1285 1297
2. J.D. Bermúdez, J.V. Segura, and E. Vercher A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection Fuzzy Sets and Systems 188 2012 16 26
3. R. Bhattacharyya, S. Kar, and D.D. Majumder Fuzzy mean-variance-skewness portfolio selection models by interval analysis Computers and Mathematics with Applications 61 2011 126 137
4. C. Carlsson, R. Fullér, and P. Majlender A possibilistic approach to selecting portfolios with highest utility score Fuzzy Sets and Systems 131 2002 13 21 (Pubitemid 34965435)
5. I.G. Carrasco, R.C. Palacios, J.L.L. Cuadrado, Á.G. Crespo, and B.R. Mezcua PB-ADVISOR: a private banking multi-investment portfolio advisor Information Sciences 206 2012 63 82
6. J.F. Chang, and P. Shi Using investment satisfaction capability index based particle swarm optimization to construct a stock portfolio Information Sciences 181 2011 2989 2999
7. A. Charnes, and W.W. Cooper Chance-constrained programming Management Science 6 1959 73 79
8. J.S. Chen, J.L. Hou, S.M. Wu, and Y.W. Chang-Chien Constructing investment strategy portfolios by combination genetic algorithms Expert Systems with Applications 36 2009 3824 3828
9. W. Chen Weighted portfolio selection models based on possibility theory Fuzzy Information and Engineering 2 2009 115 127
10. H. Dastkhan, N.S. Gharneh, and H. Golmakani A linguistic-based portfolio selection model using weighted max-min operator and hybrid genetic algorithm Expert Systems with Applications 38 2011 11735 11743
11. W. Dong, J. Peng, Credibilistic risk optimization models and algorithms, in: Proceedings of the International Conference on Computational Intelligence and Natural Computing IEEE, 2009, pp. 378-381.
12. Y. Fang, K.K. Lai, and S.Y. Wang Portfolio rebalancing model with transaction costs based on fuzzy decision theory European Journal of Operational Research 175 2006 879 893 (Pubitemid 44345075)
13. Y. Fang, K.K. Lai, and S.Y. Wang Fuzzy portfolio optimization theory and methods Lecture Notes in Economics and Mathematical Systems vol. 609 2008 Springer
14. P. Gupta, M.K. Mehlawat, and A. Saxena Asset portfolio optimization using fuzzy mathematical programming Information Sciences 178 2008 1734 1755
15. P. Gupta, M.K. Mehlawat, and A. Saxena A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality Information Sciences 180 2010 2264 2285
16. P. Gupta, M. Inuiguchi, and M.K. Mehlawat A hybrid approach for constructing suitable and optimal portfolios Expert Systems with Applications 38 2011 5620 5632
17. P. Gupta, M.K. Mehlawat, and G. Mittal Asset portfolio optimization using support vector machines and real-coded genetic algorithm Journal of Global Optimization 53 2012 297 315
18. T. Hasuike, H. Katagiri, and H. Ishii Portfolio selection problems with random fuzzy variable returns Fuzzy Sets and Systems 160 2009 2579 2596
19. N. Hachicha, B. Jarboui, and P. Siarry A fuzzy logic control using a differential evolution algorithm aimed at modelling the financial market dynamics Information Sciences 181 2011 79 91
20. J.H. Holland Adaptation in Natural and Artificial Systems 1975 University of Michigan Press Ann Arbor
21. X. Huang Portfolio selection with fuzzy returns Journal of Intelligent and Fuzzy Systems 18 2007 383 390 (Pubitemid 47311176)
22. X. Huang Risk curve and fuzzy portfolio selection Computers and Mathematics with Applications 55 2008 1102 1112 (Pubitemid 351199988)
23. X. Huang A review of credibilistic portfolio selection Fuzzy Optimization and Decision Making 8 2009 263 281
24. X. Huang An entropy method for diversified fuzzy portfolio selection International Journal of Fuzzy Systems 14 2012 160 165
25. M. Inuiguchi, and H. Ichihashi Relative modalities and their use in possibilistic linear programming Fuzzy Sets and Systems 35 1990 303 323
26. M. Inuiguchi, H. Ichihashi, and Y. Kume Relationships between modality constrained programming problems and various fuzzy mathematical programming problems Fuzzy Sets and Systems 49 1992 243 259
27. M. Inuiguchi, H. Ichihashi, and Y. Kume Modality constrained programming problems: a unified approach to fuzzy mathematical programming problems in the setting of possibility theory Information Sciences 67 1993 93 126
28. M. Inuiguchi, and J. Ramik Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem Fuzzy Sets and Systems 111 2000 3 28
29. M. Inuiguchi, and T. Tanino Portfolio selection under independent possibilistic information Fuzzy Sets and Systems 115 2000 83 92
30. P. Jana, T.K. Roy, and S.K. Mazumder Multi-objective possibilistic model for portfolio selection with transaction cost Journal of Computational and Applied Mathematics 228 2009 188 196
31. Z. Jianguo, and Z. Liang Multi-objective model for uncertain portfolio optimization problems International Journal of Advancements in Computing Technology 3 2011 138 145
32. X. Li, and B. Liu A sufficient and necessary condition for credibility measures International Journal of Uncertainity, Fuzziness & Knowledge-Based Systems 14 2006 527 535 (Pubitemid 44569898)
33. X. Li, B. Shou, and Z. Qin An expected regret minimization portfolio selection model European Journal of Operational Research 218 2012 484 492
34. X. Li, Y. Zhang, H.S. Wong, and Z. Qin A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns Journal of Computational and Applied Mathematics 233 2009 264 278
35. X. Li, Z. Qin, and S. Kar Mean-variance-skewness model for portfolio selection with fuzzy returns European Journal of Operational Research 202 2010 239 247
36. Y. Li, B. Wang, J. Watada, Building a fuzzy multi-objective portfolio selection model with distinct risk measurements, in: Proceedings of the IEEE International Conference on Fuzzy Systems (FUZZ-IEEE 2011), 2011, pp. 1096-1102.
37. B. Liu Theory and Practice of Uncertain Programming 2002 Physica-Verlag Heidelberg
38. B. Liu A survey of credibility theory Fuzzy Optimization and Decision Making 5 2006 387 408 (Pubitemid 44450824)
39. B. Liu, and Y.K. Liu Expected value of fuzzy variable and fuzzy expected value models IEEE Transactions on Fuzzy Systems 10 2002 445 450 (Pubitemid 34950049)
40. S.T. Liu A fuzzy modeling for fuzzy portfolio optimization Expert Systems with Applications 38 2011 13803 13809
41. E.A. Luengo Fuzzy mean-variance portfolio selection problems Advanced Modelling and Optimization 12 2010 399 410
42. H.M. Markowitz Portfolio selection Journal of Finance 7 1952 77 91
43. T. Murata, H. Ischibuchi, MOGA: multi-objective genetic algorithms, in: Proceedings of the second IEEE International Conference on Evolutionary Computation, 1995, pp. 289-294.
44. R. Rodríguez, M. Luque, M. González, Portfolio selection in the Spanish stock market by interactive multiobjective programming, TOP, An Official Journal of the Spanish Society of Statistics and Operations Research 19 (2011) 213-231.
45. S.Y. Wang, and S.S. Zhu On fuzzy portfolio selection problem Fuzzy Optimization and Decision Making 1 2002 361 377
46. Y. Yoshida An estimation model of value-at-risk portfolio under uncertainity Fuzzy Sets and Systems 160 2009 3250 3262
47. W.G. Zhang, Q. Mei, Q. Lu, and W.L. Xiao Evaluating methods of investment project and optimizing models of portfolio selection in fuzzy uncertainty Computers & Industrial Engineering 61 2011 721 728
48. W.G. Zhang, Y.L. Wang, Z.P. Chen, and Z.K. Nie Possibilistic mean-variance models and efficient frontiers for portfolio selection problem Information Sciences 177 2007 2787 2801
49. Y. Zhang, X. Li, H.-S. Wong, L. Tan, Fuzzy multi-objective portfolio selection model with transaction costs, in: Proceedings of the IEEE Internation Conference on Fuzzy Systems (FUZZ-IEEE 2009), 2009, pp. 273-278.
50. X. Zhang, W.G. Zhang, and R. Cai Portfolio adjusting optimization under credibility measures Journal of Computational and Applied Mathematics 234 2010 1458 1465
51. L.A. Zadeh Fuzzy sets Information and Control 8 1965 338 353
52. L.A. Zadeh Towards a generalized theory of uncertainity (GTU)-an outline Information Sciences 172 2005 1 40 (Pubitemid 40612866)