Portfolio Optimization of Financial Returns Using Fuzzy Approach with NSGA-II Algorithm

Jirakom Sirisrisakulchai; Kittawit Autchariyapanitkul; Napat Harnpornchai; Songsak Sriboonchitta

doi:10.20965/jaciii.2015.p0619

Regular Papers

Portfolio Optimization of Financial Returns Using Fuzzy Approach with NSGA-II Algorithm

Jirakom Sirisrisakulchai, Kittawit Autchariyapanitkul, Napat Harnpornchai, Songsak Sriboonchitta

著者情報

キーワード: fuzzy portfolio optimization, possibilistic mean, possibilistic semivariance, NSGA-II

ジャーナルオープンアクセス

2015 年 19 巻 5 号 p. 619-623

DOI https://doi.org/10.20965/jaciii.2015.p0619

詳細

抄録

This paper applied possibilistic approaches to a portfolio selection model. We considered a return rate as fuzzy variables. Based on the concept of possibilistic moments of fuzzy numbers, fuzzy stock returns and market risks are quantified by possibilistic mean and lower possibilistic semivariance, respectively. The non-dominated sorting genetic algorithm II (NSGA-II) was used to obtain the pareto optimal investment strategies for the integrated oil and gas company stocks.

責任著者(Corresponding author)

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