Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm

Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm

This paper applied possibilistic approaches to a portfolio selection model. We considered a return rate as fuzzy variables. Based on the concept of possibilistic moments of fuzzy numbers, fuzzy stock returns and market risks are quantified by possibilistic mean and lower possibilistic semivariance,...

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Main Authors: Jirakom Sirisrisakulchai, Kittawit Autchariyapanitkul, Napat Harnpornchai, Songsak Sriboonchitta
Format: Journal
Published: 2018
Subjects:
Computer Science
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84943392205&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54327
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Institution: Chiang Mai University
id th-cmuir.6653943832-54327
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spelling th-cmuir.6653943832-543272018-09-04T10:12:03Z Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm Jirakom Sirisrisakulchai Kittawit Autchariyapanitkul Napat Harnpornchai Songsak Sriboonchitta Computer Science This paper applied possibilistic approaches to a portfolio selection model. We considered a return rate as fuzzy variables. Based on the concept of possibilistic moments of fuzzy numbers, fuzzy stock returns and market risks are quantified by possibilistic mean and lower possibilistic semivariance, respectively. The non-dominated sorting genetic algorithm II (NSGA-II) was used to obtain the pareto optimal investment strategies for the integrated oil and gas company stocks. 2018-09-04T10:12:03Z 2018-09-04T10:12:03Z 2015-09-01 Journal 18838014 13430130 2-s2.0-84943392205 10.20965/jaciii.2015.p0619 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84943392205&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54327
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
spellingShingle Computer Science
Jirakom Sirisrisakulchai
Kittawit Autchariyapanitkul
Napat Harnpornchai
Songsak Sriboonchitta
Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm
description This paper applied possibilistic approaches to a portfolio selection model. We considered a return rate as fuzzy variables. Based on the concept of possibilistic moments of fuzzy numbers, fuzzy stock returns and market risks are quantified by possibilistic mean and lower possibilistic semivariance, respectively. The non-dominated sorting genetic algorithm II (NSGA-II) was used to obtain the pareto optimal investment strategies for the integrated oil and gas company stocks.
format Journal
author Jirakom Sirisrisakulchai
Kittawit Autchariyapanitkul
Napat Harnpornchai
Songsak Sriboonchitta
author_facet Jirakom Sirisrisakulchai
Kittawit Autchariyapanitkul
Napat Harnpornchai
Songsak Sriboonchitta
author_sort Jirakom Sirisrisakulchai
title Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm
title_short Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm
title_full Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm
title_fullStr Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm
title_full_unstemmed Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm
title_sort portfolio optimization of financial returns using fuzzy approach with nsga-ii algorithm
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84943392205&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54327
_version_ 1681424300239749120

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