This paper discusses a multi-objective portfolio optimization problem for practical portfolio selection in fuzzy environment, in which the return rates and the turnover rates are characterized by fuzzy variables. Based on the possibility theory, fuzzy return and liquidity are quantified by possibilistic mean, and market risk and liquidity risk are measured by lower possibilistic semivariance. T...

In this paper, we carry out the numerical study of a fuzzy portfolio selection model where the objective is to minimize the downside risk and the rates of returns on securities are approximated by means of LR-fuzzy numbers of trapezoidal form. Data from 96 securities over 195 month are used to compare the selected portfolios with a simple utility function and with the outof-sample data as well ...

In order to solve the portfolio problem when security returns are bifuzzy variables, firstly we propose a new definition of risk, then one type of portfolio selection based on expected value and risk is provided according to bifuzzy theory. Furthermore, a hybrid intelligent algorithm by integrating bifuzzy simulation and genetic algorithm is designed. Finally, one numerical experiment is provid...

In this paper, we review some fuzzy linear programming methods and techniques from a practical point of view. In the rst part, the general history and the approach of fuzzy mathematical programming are introduced. Using a numerical example, some models of fuzzy linear programming are described. In the second part of the paper, fuzzy mathematical programming approaches are compared to stochastic...

portfolio selection is considered a critically significant decision, firms have to make. as such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. this paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. in this paper, a genetic algorithm is presen...

In this paper we investigate a multi-objective portfolio selection model with three criteria: risk, return and liquidity for investors. Non-probabilistic uncertainty factors in the market, such as imprecision and vagueness of investors’ preference and judgement are simulated in the portfolio selection process. The liquidity of portfolio cannot be accurately predicted in the market, and thus is ...

There is a variety of models for portfolio selection. However, in portfolio theory applications little or no attention is paid to the cardinality problem. In this paper, an algorithm for dealing with this problem is presented. The proposed allocation algorithm is implemented in a software system, which is based on the Fuzzy Logic Q-measure Model and manages financial investments in real time. T...