A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control.
Wei-Guo ZhangYong-Jun LiuWeijun XuPublished in: Fuzzy Sets Syst. (2014)
Keyphrases
- multi period
- portfolio optimization
- sharpe ratio
- planning horizon
- production planning
- portfolio selection
- portfolio management
- risk management
- problems involving
- factor analysis
- investment decisions
- lot sizing
- facility location problem
- data envelopment analysis
- routing problem
- robust optimization
- bi objective
- multi item
- optimization methods
- total cost
- stock market
- lot size
- stock price
- supply chain
- optimal control
- lead time
- production cost
- stock exchange
- decision making
- multi criteria
- evolutionary algorithm
- multi objective
- optimization problems
- production system
- fuzzy numbers
- service level
- genetic algorithm