Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework

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• 作者：Hemant Jalota^a ; ^{hemant.jalota4@gmail.com} ; Manoj Thakur ; ^a ; ^{manojpma@gmail.com} ; Garima Mittal^b ; ^{garima@iiml.ac.in}
• 关键词：Fuzzy portfolio selection ; Credibility measure ; L-R Fuzzy numbers ; Multi-objective programming ; Credibilistic sharpe ratio ; Genetic algorithm
• 刊名：Expert Systems with Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：71
• 期：Complete
• 页码：40-56
• 全文大小：1021 K
• 卷排序：71

文摘

A new method for getting fuzzy number from data without expert’s inputs is proposed. Credibilistic models with return and illiquidity of entire portfolio are considered. A new GA is proposed to solve cardinality constrained portfolio optimization models. Credibilistic Sharpe ratio is used to compare the performance of models proposed.