Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

In this paper, we propose a multiobjective credibilistic model with fuzzy chance constraints of the portfolio selection problem. The key financial criteria used are short-term return, long-term return, risk and liquidity. The model generates portfolios which are optimal to the extent of achieving the highest credibility values for the objective functions. The problem is solved using a hybrid intelligent algorithm that integrates fuzzy simulation with a real-coded genetic algorithm. The approach adopted here has advantage of handling the multiobjective portfolio selection problem where fuzzy parameters are characterized by general functional forms. Numerical examples are provided to demonstrate effectiveness of the solution approach and efficiency of the model.

[1]  Pankaj Gupta,et al.  Asset portfolio optimization using fuzzy mathematical programming , 2008, Inf. Sci..

[2]  Lotfi A. Zadeh,et al.  Toward a generalized theory of uncertainty (GTU)--an outline , 2005, Inf. Sci..

[3]  Hidetomo Ichihashi,et al.  Relative modalities and their use in possibilistic linear programming , 1990 .

[4]  Samarjit Kar,et al.  Fuzzy mean-variance-skewness portfolio selection models by interval analysis , 2011, Comput. Math. Appl..

[5]  H. Ishibuchi,et al.  MOGA: multi-objective genetic algorithms , 1995, Proceedings of 1995 IEEE International Conference on Evolutionary Computation.

[6]  Masahiro Inuiguchi,et al.  A hybrid approach for constructing suitable and optimal portfolios , 2011, Expert Syst. Appl..

[7]  Peng Shi,et al.  Using investment satisfaction capability index based particle swarm optimization to construct a stock portfolio , 2011, Inf. Sci..

[8]  Ricardo Colomo Palacios,et al.  PB-ADVISOR: A private banking multi-investment portfolio advisor , 2012, Inf. Sci..

[9]  Masahiro Inuiguchi,et al.  Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem , 2000, Fuzzy Sets Syst..

[10]  Jin Peng,et al.  Credibilistic Risk Optimization Models and Algorithms , 2009, 2009 International Conference on Computational Intelligence and Natural Computing.

[11]  Shouyang Wang,et al.  On Fuzzy Portfolio Selection Problems , 2002, Fuzzy Optim. Decis. Mak..

[12]  Mariano Luque,et al.  Portfolio selection in the Spanish stock market by interactive multiobjective programming , 2011 .

[13]  Pankaj Gupta,et al.  A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality , 2010, Inf. Sci..

[14]  Masahiro Inuiguchi,et al.  Portfolio selection under independent possibilistic information , 2000, Fuzzy Sets Syst..

[15]  Naser Shams Gharneh,et al.  A linguistic-based portfolio selection model using weighted max-min operator and hybrid genetic algorithm , 2011, Expert Syst. Appl..

[16]  Christer Carlsson,et al.  A Possibilistic Approach to Selecting Portfolios with Highest Utility Score , 2001, Fuzzy Sets Syst..

[17]  Hiroaki Ishii,et al.  Portfolio selection problems with random fuzzy variable returns , 2007, 2007 IEEE International Fuzzy Systems Conference.

[18]  Hidetomo Ichihashi,et al.  Relationships between modality constrained programming problems and various fuzzy mathematical programming problems , 1992 .

[19]  Tapan Kumar Roy,et al.  Multi-objective possibilistic model for portfolio selection with transaction cost , 2009 .

[20]  Baoding Liu,et al.  Theory and Practice of Uncertain Programming , 2003, Studies in Fuzziness and Soft Computing.

[21]  Ruichu Cai,et al.  Portfolio adjusting optimization under credibility measures , 2010, J. Comput. Appl. Math..

[22]  Xiaoxia Huang,et al.  A review of credibilistic portfolio selection , 2009, Fuzzy Optim. Decis. Mak..

[23]  Xiaoxia Huang.  Portfolio selection with fuzzy returns , 2007, J. Intell. Fuzzy Syst..

[24]  Xiang Li,et al.  Mean-variance-skewness model for portfolio selection with fuzzy returns , 2010, Eur. J. Oper. Res..

[25]  Yuji Yoshida.  An estimation model of value-at-risk portfolio under uncertainty , 2009, Fuzzy Sets Syst..

[26]  Xiang Li,et al.  A Sufficient and Necessary Condition for Credibility Measures , 2006, Int. J. Uncertain. Fuzziness Knowl. Based Syst..

[27]  Xiang Li,et al.  An expected regret minimization portfolio selection model , 2012, Eur. J. Oper. Res..

[28]  Xiaoxia Huang,et al.  Risk curve and fuzzy portfolio selection , 2008, Comput. Math. Appl..

[29]  Zhou Liang,et al.  Multi-objective Model for Uncertain Portfolio Optimization Problems , 2011 .

[30]  Konstantinos P. Anagnostopoulos,et al.  A portfolio optimization model with three objectives and discrete variables , 2010, Comput. Oper. Res..

[31]  Wei Chen.  Weighted portfolio selection models based on possibility theory , 2009 .

[32]  Shiang-Tai Liu,et al.  A fuzzy modeling for fuzzy portfolio optimization , 2011, Expert Syst. Appl..

[33]  Yian-Kui Liu,et al.  Expected value of fuzzy variable and fuzzy expected value models , 2002, IEEE Trans. Fuzzy Syst..

[34]  Bassem Jarboui,et al.  A fuzzy logic control using a differential evolution algorithm aimed at modelling the financial market dynamics , 2011, Inf. Sci..

[35]  Hidetomo Ichihashi,et al.  Modality constrained programming problems: A unified approach to fuzzy mathematical programming problems in the setting of possibility theory , 1993, Inf. Sci..

[36]  Baoding Liu,et al.  A survey of credibility theory , 2006, Fuzzy Optim. Decis. Mak..

[37]  Wei-Guo Zhang,et al.  Evaluating methods of investment project and optimizing models of portfolio selection in fuzzy uncertainty , 2011, Comput. Ind. Eng..

[38]  Xiang Li,et al.  A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns , 2009, J. Comput. Appl. Math..

[39]  Pankaj Gupta,et al.  Asset portfolio optimization using support vector machines and real-coded genetic algorithm , 2011, Journal of Global Optimization.

[40]  Xiao-xia,et al.  An Entropy Method for Diversified Fuzzy Portfolio Selection , 2012 .

[41]  Kin Keung Lai,et al.  Decision Aiding Portfolio rebalancing model with transaction costs based on fuzzy decision theory , 2005 .

[42]  Kin Keung Lai,et al.  Fuzzy Portfolio Optimization: Theory and Methods , 2008 .

[43]  John H. Holland,et al.  Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence , 1992 .

[44]  A. Charnes,et al.  Chance-Constrained Programming , 1959 .

[45]  Elena Almaraz Luengo.  Fuzzy Mean-Variance portfolio selection problems , 2010 .

[46]  Jiah-Shing Chen,et al.  Constructing investment strategy portfolios by combination genetic algorithms , 2009, Expert Syst. Appl..

[47]  Xiang Li,et al.  Fuzzy multi-objective portfolio selection model with transaction costs , 2009, 2009 IEEE International Conference on Fuzzy Systems.

[48]  Wei-Guo Zhang,et al.  Possibilistic mean-variance models and efficient frontiers for portfolio selection problem , 2007, Inf. Sci..

[49]  Junzo Watada,et al.  Building a fuzzy multi-objective portfolio selection model with distinct risk measurements , 2011, 2011 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE 2011).

[50]  Enriqueta Vercher,et al.  A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection , 2012, Fuzzy Sets Syst..