Fuzzy portfolio selection using genetic algorithm |
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Authors: | Rahib H Abiyev Mustafa Menekay |
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Affiliation: | (1) Department of Computer Engineering, Near East University, Lefkosa, North Cyprus;(2) Department of Computer Information Systems, Near East University, Lefkosa, North Cyprus |
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Abstract: | This paper presents the development of fuzzy portfolio selection model in investment. Fuzzy logic is utilized in the estimation
of expected return and risk. Using fuzzy logic, managers can extract useful information and estimate expected return by using
not only statistical data, but also economical and financial behaviors of the companies and their business strategies. In
the formulated fuzzy portfolio model, fuzzy set theory provides the possibility of trade-off between risk and return. This
is obtained by assigning a satisfaction degree between criteria and constraints. Using the formulated fuzzy portfolio model,
a Genetic Algorithm (GA) is applied to find optimal values of risky securities. Numerical examples are given to demonstrate
the effectiveness of proposed method. |
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Keywords: | Fuzzy portfolio selection Genetic algorithm Portfolio optimization |
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