Fuzzy Portfolio Selection for Realizing Limited Number of Investment Securities Using Genetic Algorithm

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  • 遺伝的アルゴリズムを用いた投資銘柄数限定型ファジィ・ポートフォリオ・セレクション
  • イデンテキ アルゴリズム オ モチイタ トウシ メイガラスウ ゲンテイガタ フ

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The objective of this study is to select a limited number of securities and decide the portfolio of the selected securities which satisfies the decision makers. Mixed-integer portfolio selection is solved using a genetic algorithm. It is difficult to generate individuals who choose N securities out of n securities based on the 0-1 encoding of a genetic algorithm. Therefore, encoding is employed to set an allele to the number of 0-1 variables and the chromosome length to the number of choices. The portfolio of selected securities is decided based on a fuzzy-logic concept which realizes the quasi-satisfaction of a decision maker for the expected rate of return and risk ; in other words, the aspiration level of a decision maker. It is shown, using an example which chooses 4,5 or 6 securities out of 15,that the mixed-integer fuzzy portfolio selection using a genetic algorithm is an effective method.

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