Expected value multi-objective model with fuzzy parameters for asset portfolio optimization

摘要：

　　In this paper, we propose an expected value multi-objective model (EVMOP) for portfolio optimization problem. A solution procedure consisting of fuzzy goal programming and fuzzy simulation based genetic algorithm i.e. Hybrid intelligent algorithm (HIA) 4 is presented to solve EVMOP.

关键词： Fuzzy portfolio selection chance-constraint programming multi-objective programming genetic algorithm fuzzy simulation

作者: Garima Mittal Pankaj Gupta Mukesh Kumar Mehlawat

作者单位: Department of Operational Research, University of Delhi, Delhi, India

会议类型: 国际会议

会议名称: 第8届国际最优化方法及应用大会

会议地点: 上海

会议语种:英文

页码: 354-355

在线出版日期: 2010-12-10（万方平台首次上网日期，不代表论文的发表时间）