Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints

Deng, Xue; Chen, Jiaxing; Wang, Xu; Geng, Fengting

doi:10.1016/j.matcom.2022.05.021

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“…Due to the incomplete disclosure of company's financial information, there is a large amount of fuzzy uncertainty in the expected return of the stock asset. To deal with the asset portfolio problem involved fuzzy returns, a lot of scholars have put forward many optimization models [1][2][3][4][5]. However, in the uncertain scenario the expected return of invested asset can be more conveniently estimated by triangular intuitionistic fuzzy number (TrIFN) than fuzzy numbers.…”

Section: Introductionmentioning

confidence: 99%

A Portfolio Adjusting Model with Triangular Intuitionistic Fuzzy Return

Zhang,

2023

Fuzzy Systems and Data Mining IX

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To fit the changes in the investment process, a portfolio adjusting method with triangular intuitionistic fuzzy return is put forward. The expected return rate and risk of the portfolio are characterized by mean value and variance of triangular intuitionistic fuzzy number. Then, an intuitionistic fuzzy portfolio adjusting model is established by minimizing the variance risk of portfolio and ensuring the expected return greater than some aspired return levels. Finally, an application example of stock portfolio is given to demonstrate the practicability of intuitionistic fuzzy portfolio adjusting model.

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