This article presents a hierarchical process for multiobjective portfolio selection in fuzzy environment. Methodology proposed in this paper is consist of three main steps; (a) determining weight of each objective including return, risk and liquidity, by fuzzy logarithmic least square according to investors’ preferences matrix by the means of DE algorithm, (b&c) assigning pareto frontiers of pr...

Very large-scale neighborhood search (VLSNS) is a technique intensively used in single-objective optimization. However, there is almost no study of VLSNS for multiobjective optimization. We show in this paper that this technique is very efficient for the resolution of multiobjective combinatorial optimization problems. Two problems are considered: the multiobjective multidimensional knapsack pr...

The aim of this paper is to deal with a multiobjective linear programming problem with fuzzy random coefficients. Some crisp equivalent models are presented and a traditional algorithm based on an interactive fuzzy satisfying method is proposed to obtain the decision maker’s satisfying solution. In addition, the technique of fuzzy random simulation is adopted to handle general fuzzy random obje...

This chapter provides a description of multiobjective optimization software with a general overview of selected few available tools developed in the last decade. This chapter can be considered a revision of previous valid papers and chapters on nonlinear multiobjective optimization software such as the ones written by Weistroffer et al. (2005) and Miettinen (1999) that lists existing software p...

Financial portfolio optimization is a challenging problem. First, the problem is multiobjective (i.e.: minimize risk and maximize profit) and the objective functions are often multimodal and non smooth (e.g.: value at risk). Second, managers have often to face real-world constraints, which are typically non-linear. Hence, conventional optimization techniques, such as quadratic programming, cann...

Real world engineering design problems are usually characterized by the presence of many conflicting objectives. Therefore, it is natural to look at the engineering design problem as a multiobjective optimization problem. This report summarizes a survey of techniques to conduct multiobjective optimization in an engineering design context. The report starts with discussing some of the difficulti...

Many design problems in engineering are typically multiobjective, under complex nonlinear constraints. The algorithms needed to solve multiobjective problems can be significantly different from the methods for single objective optimization. Computing effort and the number of function evaluations may often increase significantly for multiobjective problems. Metaheuristic algorithms start to show...

Almost all approaches to multiobjective optimization are based on Genetic Algorithms, and implementations based on Evolution Strategies (ESs) are very rare. In this paper, a new approach to multiobjective optimization, based on ESs, is presented. The comparisons with other algorithms indicate a good performance of the Multiobjective Elitist