An automatic trading system for fuzzy portfolio optimization problem with sell orders

作者：

Highlights：

• A trading system for fuzzy portfolio problem with sell orders is proposed.

• A method is proposed to determine the parameters of the LR-power fuzzy return.

• A multi-objectives genetic algorithm is designed to solve the proposed model.

• An optimal investment strategy is selected based on the fuzzy Value-at-Risk ratio.

摘要

•A trading system for fuzzy portfolio problem with sell orders is proposed.•A method is proposed to determine the parameters of the LR-power fuzzy return.•A multi-objectives genetic algorithm is designed to solve the proposed model.•An optimal investment strategy is selected based on the fuzzy Value-at-Risk ratio.

论文关键词：Fuzzy portfolio optimization,Automatic trading system,Sell order,Genetic algorithm

论文评审过程：Received 30 April 2021, Revised 26 August 2021, Accepted 27 August 2021, Available online 9 September 2021, Version of Record 22 September 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115822