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.

引用

页码：258 / 261

页数：4

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