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A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
16 references·11 citing·33 second hop
A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns (2009)A hybrid intelligent algorithm for portfo…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …Mean-semivariance models for fuzzy portfolio selection (2007)Mean-semivariance models for …Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Genetic algorithms for portfo…Simulated annealing for complex portfolio selection problems (2003)Simulated annealing for compl…A possibilistic approach to selecting portfolios with highest utility score (2002)A possibilistic approach to s…Portfolio selection based on fuzzy probabilities and possibility distributions (2000)Portfolio selection based on …Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…Portfolio selection based on upper and lower exponential possibility distributions (1999)Portfolio selection based on …Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Entropy optimization principles with applications (1993)Entropy optimization principl…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Higher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure (2022)A novel approach to incorpora…Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor (2017)Time consistent fuzzy multi-p…Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework (2016)Modelling and constructing me…A Review on Artificial Intelligence Methodologies for the Forecasting of Crude Oil Price (2016)A Review on Artificial Intell…The incomplete hub-covering location problem considering imprecise location of demands (2013)The incomplete hub-covering l…Fuzzy Chance-Constrained Multiobjective Portfolio Selection Model (2013)Fuzzy Chance-Constrained Mult…Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints (2012)Multiobjective credibilistic …Fuzzy portfolio model with different investor risk attitudes (2012)Fuzzy portfolio model with di…A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection (2012)A Possibilistic Mean-Downside…An expected regret minimization portfolio selection model (2011)An expected regret minimizati…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)Portfolio Selection (1952)Intransitivity of preferences. (1969)Fuzzy portfolio optimization under downside risk measures (2006)Asset portfolio optimization using fuzzy mathematical programming (2007)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Skewness in financial returns (1999)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Theory and Capital Markets. (1972)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Portfolio optimization with linear and fixed transaction costs (2006)Modern Portfolio Theory and Investment Analysis. (1982)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Particle swarm optimization approach to portfolio optimization (2008)Twenty years of linear programming based portfolio optimization (2013)A nonparametric model of random uncertainties for reduced matrix models in structural dynamics (2000)Random matrix theory for modeling uncertainties in computational mechanics (2004)Non-Gaussian positive-definite matrix-valued random fields for elliptic stochastic partial differential operators (2005)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Portfolio selection: a fuzzy-ANP approach (2020)The Cross-Section of Expected Stock Returns (1992)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1993Entropy optimization principles with applications493 cited
  • 1984Large-Scale Portfolio Optimization416 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 2003Simulated annealing for complex portfolio selection problems352 cited
  • 2000Portfolio selection based on fuzzy probabilities and possibility distributions312 cited
  • 2009Mean-variance-skewness model for portfolio selection with fuzzy returns309 cited
  • 2002A possibilistic approach to selecting portfolios with highest utility score294 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited
  • 2007Mean-semivariance models for fuzzy portfolio selection252 cited
  • 1999Portfolio selection based on upper and lower exponential possibility distributions250 cited

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  • 2007Genetic algorithms for portfolio selection problems with minimum transaction lots243 cited
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    • 2012Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints73 cited
    • 2011An expected regret minimization portfolio selection model71 cited
    • 2012A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection70 cited
    • 2012Fuzzy portfolio model with different investor risk attitudes57 cited
    • 2022A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure55 cited
    • 2013Fuzzy Chance-Constrained Multiobjective Portfolio Selection Model52 cited
    • 2016Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework43 cited
    • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited
    • 2016A Review on Artificial Intelligence Methodologies for the Forecasting of Crude Oil Price39 cited
    • 2017Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor34 cited
    • 2013The incomplete hub-covering location problem considering imprecise location of demands28 cited