Portfolio Selection: A Heuristic Approach

Portfolio Selection: A Heuristic Approach

A fuzzy random multi-objective approach for portfolio selection

In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the pref...

A Heuristic Approach to Portfolio Optimization

Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which differ from the meanvariance optimum. The resulting optimization problem can become quite complex as it exhibits multiple local extrema and discontinuities, in particular if we also introduce constraints restricting the trading variables to integers, c...

Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach

Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...

A Hybrid Meta-Heuristic to Solve the Portfolio Selection Problem

We present a fuzzy version of the efficient portfolio selection problem which adds to the Markowitz’s classical model the vagueness of the investor’s preferences about the assumed risk. This is done by adapting some techniques previously applied by the authors in other logistic problems. We provide several procedures to solve it: an exact one and a hybrid meta-heuristic procedure more adequate ...