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
收藏
页码：258 / 261
页数：4
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