GASRP-FP: A hybrid metaheuristic to solve fuzzy portfolio selection with non-financial goals

Abstract

The emergence of more powerful computational techniques has stimulated the development and study of more sophisticated models for portfolio selection problem including further constraints and further financial and non-financial decision criteria. In this paper, we propose a hybrid approach composed of two genetic algorithms to solve a fuzzy portfolio selection model with cardinality constraints, semicontinuous variable and non-financial goals. An analytical description of the efficient frontier and socially responsible solutions are obtained.