A fuzzy multi-objective portfolio selection model with transaction cost and liquidity

被引：1
|
作者：
Yue, Wei [1 ]
Wang, Yuping [1 ]
机构：
[1] Xidian Univ, Sch Comp Sci & Technol, Xian 710071, Shannxi, Peoples R China
来源：
2015 11TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND SECURITY (CIS) | 2015年
关键词：
Portfolio selection; Possibilistic moments; Entropy; Multi-objective evolutionary algorithm; ALGORITHM;
D O I：
10.1109/CIS.2015.70
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, a new proportion entropy function is proposed as an objective function to obtain a well-diversified portfolio. Secondly, a new fuzzy multi-objective portfolio selection model based on the proposed entropy function is presented. By using the model, we can find tradeoffs between risk, return and the diversification degree of portfolio. Thirdly, a new multi-objective evolutionary algorithm is designed to solve the proposed model. Finally, some numerical examples are presented to illustrate the effectiveness of the proposed model and the corresponding algorithm.
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页码：258 / 261
页数：4
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