Fuzzy portfolio selection using genetic algorithm
| Autor: | Rahib H. Abiyev, Mustafa Menekay |
|---|---|
| Rok vydání: | 2007 |
| Předmět: |
Adaptive neuro fuzzy inference system
Mathematical optimization Actuarial science Computer science Fuzzy set Computational intelligence Defuzzification Fuzzy logic Theoretical Computer Science Fuzzy transportation Genetic algorithm Portfolio Fuzzy set operations Geometry and Topology Portfolio optimization Software |
| Zdroj: | Soft Computing. 11:1157-1163 |
| ISSN: | 1433-7479 1432-7643 |
| DOI: | 10.1007/s00500-007-0157-z |
| Popis: | This paper presents the development of fuzzy portfolio selection model in investment. Fuzzy logic is utilized in the estimation of expected return and risk. Using fuzzy logic, managers can extract useful information and estimate expected return by using not only statistical data, but also economical and financial behaviors of the companies and their business strategies. In the formulated fuzzy portfolio model, fuzzy set theory provides the possibility of trade-off between risk and return. This is obtained by assigning a satisfaction degree between criteria and constraints. Using the formulated fuzzy portfolio model, a Genetic Algorithm (GA) is applied to find optimal values of risky securities. Numerical examples are given to demonstrate the effectiveness of proposed method. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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