An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity
المؤلفون المشاركون
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2015، العدد 2015 (31 ديسمبر/كانون الأول 2015)، ص ص. 1-15، 15ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2015-08-09
دولة النشر
مصر
عدد الصفحات
15
التخصصات الرئيسية
الملخص EN
The major issues for mean-variance-skewness models are the errors in estimations that cause corner solutions and low diversity in the portfolio.
In this paper, a multiobjective fuzzy portfolio selection model with transaction cost and liquidity is proposed to maintain the diversity of portfolio.
In addition, we have designed a multiobjective evolutionary algorithm based on decomposition of the objective space to maintain the diversity of obtained solutions.
The algorithm is used to obtain a set of Pareto-optimal portfolios with good diversity and convergence.
To demonstrate the effectiveness of the proposed model and algorithm, the performance of the proposed algorithm is compared with the classic MOEA/D and NSGA-II through some numerical examples based on the data of the Shanghai Stock Exchange Market.
Simulation results show that our proposed algorithm is able to obtain better diversity and more evenly distributed Pareto front than the other two algorithms and the proposed model can maintain quite well the diversity of portfolio.
The purpose of this paper is to deal with portfolio problems in the weighted possibilistic mean-variance-skewness (MVS) and possibilistic mean-variance-skewness-entropy (MVS-E) frameworks with transaction cost and liquidity and to provide different Pareto-optimal investment strategies as diversified as possible for investors at a time, rather than one strategy for investors at a time.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Yue, Wei& Wang, Yuping& Dai, Cai. 2015. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-15.
https://search.emarefa.net/detail/BIM-1074160
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Yue, Wei…[et al.]. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity. Mathematical Problems in Engineering No. 2015 (2015), pp.1-15.
https://search.emarefa.net/detail/BIM-1074160
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Yue, Wei& Wang, Yuping& Dai, Cai. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-15.
https://search.emarefa.net/detail/BIM-1074160
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1074160
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر