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Soft Computing
Published in: Soft Computing 4/2020

29-10-2018 | Focus

A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model

Authors: Wei Chen, Si-Si Li, Jun Zhang, Mukesh Kumar Mehlawat

Published in: Soft Computing | Issue 4/2020

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Abstract

In this paper, we discuss the fuzzy portfolio selection problems in multi-objective frameworks. A comprehensive model for multi-objective portfolio selection in fuzzy environment is proposed by incorporating mean-semivariance model and data envelopment analysis cross-efficiency model. In the proposed model, the cross-efficiency model is formulated within the framework of Sharpe ratio; bounds on holdings, and cardinality constraints are also considered. The nonlinear constrained multi-objective portfolio optimization problem cannot be efficiently solved by using traditional approaches. Thus, a multi-objective firefly algorithm is developed to solve the relevant model. Finally, an example verifies the validity of the proposed approaches.
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Metadata
Title
A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model
Authors
Wei Chen
Si-Si Li
Jun Zhang
Mukesh Kumar Mehlawat
Publication date
29-10-2018
Publisher
Springer Berlin Heidelberg
Published in
Soft Computing / Issue 4/2020
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI
https://doi.org/10.1007/s00500-018-3595-x

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