Fuzzy Random λ-Mean SAD Portfolio Selection Problem: An Ant Colony Optimization Approach

2010 ◽  
Author(s):  
Gour Sundar Mitra Thakur ◽  
Rupak Bhattacharyya ◽  
Swapan Kumar Mitra ◽  
Swapan Paruya ◽  
Samarjit Kar ◽  
...  
Keyword(s):  
Ant Colony Optimization ◽  
Portfolio Selection ◽  
Ant Colony ◽  
Selection Problem ◽  
Optimization Approach ◽  
Portfolio Selection Problem ◽  
Fuzzy Random

scholarly journals A Parametric Sharpe Ratio Optimization Approach for Fuzzy Portfolio Selection Problem

2017 ◽  
Vol 2017 ◽  
pp. 1-17 ◽  
Author(s):  
Ying Liu ◽  
Ya-Nan Li
Keyword(s):  
Portfolio Selection ◽  
Domain Decomposition Method ◽  
Equivalent Form ◽  
Performance Criterion ◽  
Performance Measure ◽  
Sharpe Ratio ◽  
Selection Problem ◽  
Optimization Approach ◽  
Fuzzy Variables ◽  
Portfolio Selection Problem

When facing to make a portfolio decision, investors may care more about every portfolio’s performance on a return and risk trade-off. In this paper, a new low partial moment measurement that only punishes the loss risk is defined for selection variables based on L-S integral. Furthermore, a new performance measure for portfolio evaluation is proposed to generalize the Sharpe ratio in the fuzzy context. With the optimal performance criterion, a new parametric Sharpe ratio portfolio optimization model is developed wherein uncertain returns are presented as parametric interval-valued fuzzy variables. To make the proposed model easy to solve, we transform the fractional programming into an equivalent form and solve it with domain decomposition method (DDM). Finally, we apply the proposed performance measure into a portfolio selection problem, compare the computational results in different cases, and analyze the influence of different parameters on the optimal portfolio.

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach
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