Fuzzy Multi-Objective Chance-Constrained Portfolio Optimization Under Uncertainty Considering Investment Return, Investment Risk, and Sustainability.
Navee ChiadamrongPisacha SuthamanondhPublished in: Int. J. Knowl. Syst. Sci. (2022)
Keyphrases
- portfolio optimization
- robust optimization
- chance constrained
- sharpe ratio
- portfolio management
- investment decisions
- multi objective
- chance constrained programming
- stochastic programming
- portfolio selection
- chance constraints
- risk measures
- mathematical programming
- lot sizing
- multi objective optimization
- evolutionary algorithm
- bi objective
- decision making
- decision theory
- risk averse
- fuzzy sets
- neural network
- expected utility
- multiple objectives
- optimization algorithm
- particle swarm optimization