Search results for "Risk–return spectrum"

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Portfolio optimization using a credibility mean-absolute semi-deviation model

2015

We present a cardinality constrained credibility mean-absolute semi-deviation model.We prove relationships for possibility and credibility moments for LR-fuzzy variables.The return on a given portfolio is modeled by means of LR-type fuzzy variables.We solve the portfolio selection problem using an evolutionary procedure with a DSS.We select best portfolio from Pareto-front with a ranking strategy based on Fuzzy VaR. We introduce a cardinality constrained multi-objective optimization problem for generating efficient portfolios within a fuzzy mean-absolute deviation framework. We assume that the return on a given portfolio is modeled by means of LR-type fuzzy variables, whose credibility dist…

Mathematical optimizationActuarial scienceOptimization problemComputer scienceGeneral EngineeringEfficient frontierRisk–return spectrumFuzzy logicMulti-objective optimizationCredibility theoryComputer Science ApplicationsArtificial IntelligenceCredibilityGenetic algorithmFuzzy numberPortfolioStock marketPost-modern portfolio theoryPortfolio optimizationMembership functionExpert Systems with Applications

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PEPhysical Sciences and Engineering
- PE2Fundamental Constituents of Matter
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LSLife Sciences
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  - LS2_1Genetics
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  - LS4_1Organ and tissue physiology and pathophysiology
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  - LS4_3Physiology of ageing
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  - LS4_5Non-hormonal mechanisms of inter-organ and tissue communication
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  - LS3_15Development of cell-based therapeutic approaches for tissue regeneration
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  - LS5_1Neuronal cells
  - LS5_3Neural development and related disorders
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SHSocial Sciences and Humanities
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