A Hybrid Meta-Heuristic to Solve the Portfolio Selection Problem

被引：0

作者：

Cadenas, Jose M. ^{[1
]}

Carrillo, Juan V. ^{[1
]}

Garrido, M. Carmen ^{[1
]}

Ivorra, Carlos ^{[2
]}

Lamata, Teresa ^{[3
]}

Liern, Vicente ^{[2
]}

机构：

[1] Univ Murcia, Dept Ingn Informac & Comunicac, Murcia, Spain

[2] Univ Valencia, Dept Matemat Econ & Empresa, Valencia, Spain

[3] Univ Granada, Dept Ciencias Computac & Inteligencia Artificial, Granada, Spain

来源：

PROCEEDINGS OF THE JOINT 2009 INTERNATIONAL FUZZY SYSTEMS ASSOCIATION WORLD CONGRESS AND 2009 EUROPEAN SOCIETY OF FUZZY LOGIC AND TECHNOLOGY CONFERENCE | 2009年

关键词：

Fuzzy programming; Heuristic strategies; Portfolio selection; OPTIMIZATION;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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 usefull-ness of the model and the algorithms, we provide an example based on data from the Spanish index IBEX35.

引用

页码：669 / 674

页数：6

共 50 条

[1] A meta-heuristic approach to solve a JIT scheduling problem in hybrid flow shop
Khalouli, Safa
Ghedjati, Fatima
Hamzaoui, Abdelaziz
[J]. ENGINEERING APPLICATIONS OF ARTIFICIAL INTELLIGENCE, 2010, 23 (05) : 765 - 771
[2] A hybrid meta-heuristic for a routing problem
Perez, Jesus Fabian Lopez
[J]. Computational Methods, Pts 1 and 2, 2006, : 1045 - 1050
[3] An Exploration of Meta-Heuristic Approaches for the Project Portfolio Selection and Scheduling Problem in a Defence Context
Harrison, Kyle Robert
Elsayed, Saber
Weir, Terence
Garanovich, Ivan L.
Taylor, Richard
Sarker, Ruhul
[J]. 2020 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (SSCI), 2020, : 1395 - 1402
[4] Meta-heuristic approaches to solve shortest lattice vector problem
Reddy, V. Dinesh
Rao, G. S. V. R. K.
[J]. JOURNAL OF DISCRETE MATHEMATICAL SCIENCES & CRYPTOGRAPHY, 2021, 24 (01): : 81 - 91
[5] Using Meta-Heuristic Algorithms and Hybrid of Them to Solve Multi Compartment Vehicle Routing Problem
Rabbani, M.
Tahaei, Z.
Farrokhi-Asl, H.
Saravi, N. Akbarin
[J]. 2017 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT (IEEM), 2017, : 1022 - 1026
[6] An efficient hybrid meta-heuristic for aircraft landing problem
Salehipour, Amir
Modarres, Mohammad
Naeni, Leila Moslemi
[J]. COMPUTERS & OPERATIONS RESEARCH, 2013, 40 (01) : 207 - 213
[7] MCN portfolio: An efficient portfolio prediction and selection model using multiserial cascaded network with hybrid meta-heuristic optimization algorithm
Sharma, Meeta
Sharma, Pankaj Kumar
Vijayvergia, Hemant Kumar
Garg, Amit
Agarwal, Shyam Sundar
Saxena, Varun Prakash
[J]. NETWORK-COMPUTATION IN NEURAL SYSTEMS, 2024,
[8] Efficiency Improvements in Meta-Heuristic Algorithms to Solve the Optimal Power Flow Problem
Reddy, S. Surender
Bijwe, P. R.
[J]. INTERNATIONAL JOURNAL OF EMERGING ELECTRIC POWER SYSTEMS, 2016, 17 (06): : 631 - 647
[9] Efficiency improvements in meta-heuristic algorithms to solve the optimal power flow problem
Reddy, S. Surender
Bijwe, P. R.
[J]. INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS, 2016, 82 : 288 - 302
[10] Meta-heuristic Techniques to Solve Resource-Constrained Project Scheduling Problem
Roy, Bidisha
Sen, Asim Kumar
[J]. INTERNATIONAL CONFERENCE ON INNOVATIVE COMPUTING AND COMMUNICATIONS, VOL 2, 2019, 56 : 93 - 99

← 1 2 3 4 5 →