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

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