A fuzzy hybrid integrated framework for portfolio optimization in private banking

作者：

Highlights：

• Propose hybrid framework to select a portfolio in private banking.

• A linguistic approach based on fuzzy sets for vague classifications.

• A meta model combining fuzzy sorting and fuzzy optimization with multiple objectives.

• A numerical application is presented considering real data.

• The approach was evaluated by comparing with usual benchmarks.

摘要

•Propose hybrid framework to select a portfolio in private banking.•A linguistic approach based on fuzzy sets for vague classifications.•A meta model combining fuzzy sorting and fuzzy optimization with multiple objectives.•A numerical application is presented considering real data.•The approach was evaluated by comparing with usual benchmarks.

论文关键词：OR in banking,Investment analysis,Fuzzy sets,Multiple attribute decision making,Multiple objective programming

论文评审过程：Received 20 July 2017, Revised 15 September 2017, Accepted 25 September 2017, Available online 29 September 2017, Version of Record 5 October 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.09.055