文章基本信息

标题：Fuzzy quadratic multiobjective portfolio selection model: a possibility approach
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作者：Houssine Tlig ; Abdesselem Dakhli
期刊名称：International Journal of Computer Science Issues
印刷版ISSN：1694-0784
电子版ISSN：1694-0814
出版年度：2014
卷号：11
期号：2
出版社：IJCSI Press
摘要：This paper develops a quadratic multiobjective model with fuzzy returns of the portfolio selection problem (QMPS). The obtained fuzzy model cannot be efficiently solved using traditionally approaches. A possibility approach is introduced in which objectives are treated as fuzzy events. The approach transforms the fuzzy QMPS model into a possibility QMPS problem by using possibility measures of fuzzy events. A particle swarm optimization algorithm is used to solve the crisp quadratic problem obtained. A numerical example is provided to demonstrate the effectiveness of the solution approach and the model efficiency.
关键词：fuzzy portfolio selection; quadratic multiobjective problem; Possibility theory; Particle swarm optimization