Portfolio selection under higher moments using fuzzy multi-objective linear programming.
Thanh NguyenPublished in: J. Intell. Fuzzy Syst. (2016)
Keyphrases
- portfolio selection
- multi objective
- linear programming
- multiple objectives
- objective function
- multistage stochastic
- linear program
- evolutionary algorithm
- multi objective optimization
- optimization algorithm
- fuzzy sets
- portfolio optimization
- portfolio management
- pareto optimal
- genetic algorithm
- financial markets
- particle swarm optimization
- mathematical programming
- robust optimization
- feasible solution
- nsga ii
- network flow
- bi objective
- transaction costs
- dynamic programming
- primal dual
- semidefinite programming
- fuzzy numbers
- column generation
- genetic programming
- decision support system