A Hybrid Meta-Heuristic to Solve the Portfolio Selection Problem
نویسندگان
چکیده
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 for medium and large-sized problems. To show the usefullness of the model and the algorithms, we provide an example based on data from the Spanish index IBEX35. Keywords— Fuzzy programming, Heuristic strategies, Portfolio selection.
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