Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection

Saborido, Rubén; Ruíz, Ana Belén Mirete; Bermúdez, José D.; Vercher, Enriqueta; Luque, Mariano

doi:10.1016/j.asoc.2015.11.005

Cited by 109 publications

(42 citation statements)

References 40 publications

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“…Expósito-Izquiero et al [44] have executed the problem of tactical berth allocation, wherein the vessels are assigned to given berth alongside the problem of Quay Crane Scheduling for which the work schedules of the quay cranes are ascertained. This work has further been extended by Saborido et al [45] who have taken into consideration a model for portfolio selection proposed of late known as Mean-Downside RiskSkewness (MDRS) model. Further, multicriteria decision making problems have been dealt with, with more carefulness and accuracy.…”

Section: Introductionmentioning

confidence: 99%

Novel Distance Measure in Fuzzy TOPSIS for Supply Chain Strategy Based Supplier Selection

Saradhi¹,

Shankar

Suryanarayana

2016

Mathematical Problems in Engineering

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In today's highly competitive environment, organizations need to evaluate and select suppliers based on their manufacturing strategy. Identification of supply chain strategy of the organization, determination of decision criteria, and methods of supplier selection are appearing to be the most important components in research area in the field of supply chain management. In this paper, evaluation of suppliers is done based on the balanced scorecard framework using new distance measure in fuzzy TOPSIS by considering the supply chain strategy of the manufacturing organization. To take care of vagueness in decision making, trapezoidal fuzzy number is assumed for pairwise comparisons to determine relative weights of perspectives and criteria of supplier selection. Also, linguistic variables specified in terms of trapezoidal fuzzy number are considered for the payoff values of criteria of the suppliers. These fuzzy numbers satisfied the Jensen based inequality. A detailed application of the proposed methodology is illustrated.

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Section: Introductionmentioning

confidence: 99%

Novel Distance Measure in Fuzzy TOPSIS for Supply Chain Strategy Based Supplier Selection

Saradhi¹,

Shankar

Suryanarayana

2016

Mathematical Problems in Engineering

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“…More recently, Chen and Tsaur (2016) proposed a weighted fuzzy portfolio model based on a weighted function of possibility mean and variance in order to approach portfolio selection differently in response to the varying investment return. Saborido et al (2016) proposed the mean-downside risk skewness model for portfolio selection which takes into account the multidimensional nature of the portfolio selection problem. Bilbao-Terol et al (2016) proposed a sequential goal programming model with fuzzy hierarchies for solving portfolio selection problem.…”

Section: Introductionmentioning

confidence: 99%

“…Bilbao-Terol et al (2016) proposed a sequential goal programming model with fuzzy hierarchies for solving portfolio selection problem. In fuzzy portfolio theory, some proposed models are sometimes implemented by efficient algorithms such as mutation, crossover and reparation operators proposed by Saborido et al (2016) and the fuzzy goal programming and linear physical programming applied by Kucukbay and Araz (2016).…”

Section: Introductionmentioning

confidence: 99%

Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns

Tassak

Kamdem

Fono

et al. 2017

Journal of the Operational Research Society

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Peng et al (Int J Uncertain Fuzziness Knowl Based Syst 15:29-41, 2007) introduced, by means of the credibility measure, two dominance relations on fuzzy variables, namely the first-and the second-order dominances. In this paper, we characterize each of these dominance relations, and we justify that they satisfy six well-known properties of comparison methods. We propose a Game Theory approach for the determination of optimal portfolios when returns are fuzzy by introducing the set of best portfolios with respect to the first-and the second-order dominances. Based on the characterization of the first-order dominance, we numerically display some of the best portfolios of the classical set of portfolios of seven independent assets described by triangular fuzzy numbers.

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“…However, in practice, investors are more concerned with deviations to the negative side of the mean [29,41,84,85]. Thus, Markowitz proposed another risk measure, namely semi-variance, which assesses only a decline in profitability around the mean, i.e., it is calculated similarly to variance but only below-mean values are included.…”

mentioning

confidence: 99%

“…Based on Formula (5), and on the assumption that the project return is the difference between profit and investment [84], the return of a project will be calculated as the average of project returns in different scenarios (given the absence of historical data, scenarios of a project are used):…”

mentioning

confidence: 99%

Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making

Dobrovolskienė

Tamošiūnienė

2016

Sustainability

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Abstract:Modern portfolio theory attempts to maximize the expected return of a portfolio for a given level of portfolio risk, or equivalently minimize risk for a given level of expected return. The reality, however, shows that, when selecting projects to a portfolio and allocating resources in the portfolio, an increasing number of organizations take into account other aspects as well. As a result of the sole purpose (risk-return), it offers only a partial solution for a sustainable organization. Existing project portfolio selection and resource allocation methods and models do not consider sustainability. Therefore, the aim of this article is to develop a sustainability-oriented model of financial resource allocation in a project portfolio by integrating a composite sustainability index of a project into Markowitz's classical risk-return scheme (mean-variance model). The model was developed by applying multi-criteria decision-making methods. The practicability of the model was tested by an empirical study in a selected construction company. The proposed sustainability-oriented financial resource allocation model could be used in allocating financial resources in any type of business. The use of the model would not only help organisations to manage risk and achieve higher return but would also allow carrying out sustainable projects, thereby promoting greater environmental responsibility and giving more consideration to the wellbeing of future generations. Moreover, the model allows quantifying the impact of the integration of sustainability into financial resource allocation on the return of a portfolio.

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Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection

Cited by 109 publications

References 40 publications

Novel Distance Measure in Fuzzy TOPSIS for Supply Chain Strategy Based Supplier Selection

Novel Distance Measure in Fuzzy TOPSIS for Supply Chain Strategy Based Supplier Selection

Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns

Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making

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