A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms

作者：Kar, Mohuya B.; Kar, Samarjit^*; Guo, Sini; Li, Xiang; Majumder, Saibal

来源：Soft Computing, 2019, 23(12): 4367-4381.

DOI：10.1007/s00500-018-3094-0

• Fuzzy portfolio selection
• Sharp ratio
• Value at Risk ratio
• Credibility measure
• Multi-objective genetic algorithms
• Pareto solutions

In this paper, a new bi-objective fuzzy portfolio selection model is proposed, for which Sharp ratio (SR) and Value at Risk ratio (VR) of a portfolio are chosen as objectives. SR is an important nonsystematic risk measurement that examines the investment risk by aspiring the diversification of the capital allocation. On the other hand, VR measures the systematic risk, which reduces the largest loss of an investment at a given confidence level. The proposed fuzzy portfolio model assumes both SR and VR as maximization objectives for which the associated fuzzy parameters are considered as triangular fuzzy numbers. The proposed model is solved using multi-objective genetic algorithms, namely multi-objective cellular genetic algorithm (MOCell), archive-based hybrid scatter search (AbYSS), and nondominated sorting genetic algorithm II (NSGA-II). We have used a data set from the Shenzhen Stock Exchange to illustrate the performance of the proposed model and algorithms. Finally, a comparative study in terms of five standard performance metrics is presented, among the MOCell, AbYSS, and NSGA-II algorithms that are mentioned extensively in various research articles to exhibit the best suitable algorithm.

• 出版日期2019-6
• 单位北京化工大学