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29.10.2018 | Focus

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

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

Erschienen in: Soft Computing | Ausgabe 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.

Vorheriger Artikel Sustainability efficiency evaluation of seaports in China: an uncertain data envelopment analysis approach

Nächster Artikel Estimation of dynamic mixed double factors model in high-dimensional panel data

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Titel: A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model
verfasst von: Wei Chen
Si-Si Li
Jun Zhang
Mukesh Kumar Mehlawat
Publikationsdatum: 29.10.2018
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 4/2020
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-018-3595-x

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