A new approach to the bi-criteria multi-period fuzzy portfolio selection

作者：

Highlights：

• Two-stage bi-criteria multi-period fuzzy portfolio selection model.

• Incorporating the stock trading signals improves strongly the models results.

• Real data from NYSE and NASDAQ are used to validate the model.

摘要

•Two-stage bi-criteria multi-period fuzzy portfolio selection model.•Incorporating the stock trading signals improves strongly the models results.•Real data from NYSE and NASDAQ are used to validate the model.

论文关键词：Portfolio selection,Risk aversion criterion,Profit criterion,Fuzzy sets,Stock trading system,Bi-criteria multi-period portfolio optimization

论文评审过程：Received 5 August 2020, Revised 27 September 2021, Accepted 5 October 2021, Available online 8 October 2021, Version of Record 21 October 2021.

论文官网地址：https://doi.org/10.1016/j.knosys.2021.107582