Portfolio optimization using a credibility mean-absolute semi-deviation model

作者：

Highlights：

• We present a cardinality constrained credibility mean-absolute semi-deviation model.

• We prove relationships for possibility and credibility moments for LR-fuzzy variables.

• The return on a given portfolio is modeled by means of LR-type fuzzy variables.

• We solve the portfolio selection problem using an evolutionary procedure with a DSS.

• We select best portfolio from Pareto-front with a ranking strategy based on Fuzzy VaR.

摘要

•We present a cardinality constrained credibility mean-absolute semi-deviation model.•We prove relationships for possibility and credibility moments for LR-fuzzy variables.•The return on a given portfolio is modeled by means of LR-type fuzzy variables.•We solve the portfolio selection problem using an evolutionary procedure with a DSS.•We select best portfolio from Pareto-front with a ranking strategy based on Fuzzy VaR.

论文关键词：Credibility theory,Fuzzy variables,Portfolio selection,Mean absolute semi-deviation,Multi-objective optimization,Genetic algorithm

论文评审过程：Available online 19 May 2015, Version of Record 3 June 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.05.020