A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios

Wei, Yue; Wang, Yuping

doi:10.1016/j.physa.2016.08.009

Cited by 67 publications

(24 citation statements)

References 33 publications

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“…In such context, this set of solutions is known as Pareto-optimal solutions. In recent years, many researchers have focused on multi-objective portfolio selection problems in different ways, see for example Beardsley et al [4], Gupta et al [18], Lai et al [28], Liu et al [35], Yue and Wang [58].…”

Section: Transforming the Multi-objective Problem Into A Single-objecmentioning

confidence: 99%

Uncertain portfolio selection with high-order moments

Chen

Wang

Jun

et al. 2017

IFS

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In the mean-variance-skewness-kurtosis framework, this paper discusses an uncertain higher-order moment portfolio selection problem when security returns are given by experts' evaluations. Based on uncertainty theory and the assumption that the security returns are zigzag uncertain variables, an uncertain multi-objective portfolio optimization model is proposed by considering the maximization of both the expected return and skewness of portfolio return while simultaneously minimizing the risk and kurtosis of portfolio return. Subsequently, the proposed model is transformed into a single-objective programming model by using fuzzy programming approach, in which investor preferences for high moments are incorporated. Furthermore, a modified flower pollination algorithm (MFPA) is developed for solution, in which PSO in local update strategy (PSOLUS) and dynamic switching probability strategy (DSPS) are employed to enhance the local searching and global searching abilities. Finally, a numerical example is presented to illustrate the application of the proposed model and solution comparisons are also given to demonstrate the effectiveness of the designed algorithm.

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Section: Transforming the Multi-objective Problem Into A Single-objecmentioning

confidence: 99%

Uncertain portfolio selection with high-order moments

Chen

Wang

Jun

et al. 2017

IFS

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“…Due to the above considerations, as from the 90's of last century researchers have applied fuzzy set theory (Zadeh, 1965) to describe and study the fuzziness contained in portfolio investment. There is a large body of research describing how to use possibility distributions to model the uncertainty on returns (Carlsson, Fullér, & Majlender, 2002;Saborido, Ruiz, Bermúdez, Vercher, & Luque, 2016;Vercher, Bermúdez, & Segura, 2007;Yue & Wang, 2017). However, the widely-employed possibility measure is not self-dual, which is an important drawback.…”

Section: Introductionmentioning

confidence: 99%

A Credibilistic Mean-Semivariance-Per Portfolio Selection Model for Latin America

García

González-Bueno

Oliver

et al. 2019

Journal of Business Economics and Management

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Many real-world problems in the financial sector have to consider different objectives which are conflicting, for example portfolio selection. Markowitz proposed an approach to determine the optimal composition of a portfolio analysing the trade-off between return and risk. Nevertheless, this approach has been criticized for unrealistic assumptions and several changes have been proposed to incorporate investors’ constraints and more realistic risk measures. In this line of research, our proposal extends the mean-semivariance portfolio selection model to a multiobjective credibilistic model that besides risk and return, also considers the price-to-earnings ratio to measure portfolio performance. Uncertain future returns and PER ratio of each asset are approximated using L-R power fuzzy numbers. Furthermore, we consider budget, bound and cardinality constraints. To solve the constrained portfolio optimization problem, we use the algorithm NSGA-II. We assess the proposed approach generating a portfolio with shares included in the Latin American Integrated Market. Results show that this new approach is a good alternative to solve the portfolio selection problem when multiple objectives are considered.

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“…(1997), Prakash vd. (2003), Bera ve Park (2008), Proelss ve Schweizer (2014), Yue ve Wang (2017), Ray ve Majumder (2018), Aksaraylı ve Pala (2018) gerçekleĢtirmiĢtir.…”

Section: Introductionmentioning

confidence: 99%

Ni̇celi̇k Kisitli Ortalama Varyans Çarpiklik Basiklik Portföy Modeli̇: Bulanik Sezgi̇sel Bi̇r Yaklaşim

Pala

Aksaraylı

2019

Akademik Araştırmalar Ve Çalışmalar Dergisi (AKAD)

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Finansal kriterler temelinde hisse senetleri arasından belirli oranlarda seçim yapılarak yatırımcı için en iyi portföyü oluşturma işlemi, portföy optimizasyonu olarak adlandırılmaktadır. Portföy getiri ve risk unsurları ilk defa normallik varsayımına dayanan ortalama varyans modeli bir arada değerlendirilmiştir. Fakat çoğunlukla piyasalarda yer alan hisse senetlerinin tarihsel getiri serileri normal dağılmamaktadır. Çarpıklık ve basıklık gibi yüksek dereceden momentlerin portföy seçim modeline dahil edilmesi normallik varsayımı sağlanmadığında anlamlı hale gelmektedir. Portföyde yer alacak hisse senedi sayısı kısıtlandığı durumda portföy seçim problemi Nicelik Kısıtlı Portföy Optimizasyonu haline gelmektedir. Çalışmada, önerilen Bulanık Adaptif Parçacık Sürü Optimizasyonu algoritması, üç farklı Parçacık Sürü Optimizasyonu algoritmasıyla, Nicelik Kısıtlı Portföy Optimizasyonu probleminde kıyaslanmıştır. Farklı nicelik kısıt değerleri ve yüksek dereceden momentleri içeren çeşitli amaç fonksiyonlarına göre portföyler elde edilmiştir. Sonuçlar, nicelik kısıtlı portföy seçim problemi için ilk defa kullanılan bulanık adaptif yapıya sahip algoritmanın etkinliğini ortaya koymaktadır.

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A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios

Cited by 67 publications

References 33 publications

Uncertain portfolio selection with high-order moments

Uncertain portfolio selection with high-order moments

A Credibilistic Mean-Semivariance-Per Portfolio Selection Model for Latin America

Ni̇celi̇k Kisitli Ortalama Varyans Çarpiklik Basiklik Portföy Modeli̇: Bulanik Sezgi̇sel Bi̇r Yaklaşim

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