A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria

• Published in: IEEE transactions on fuzzy systems Vol. 27; no. 5; pp. 1023 - 1036
• Main Authors: Chen, Wei, Li, Dandan, Liu, Yong-Jun
• Format: Journal Article
• Language: English
• Published: New York IEEE 01.05.2019; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Algorithms; Constraint modelling; Evolutionary algorithms; Goal programming; Heuristic methods; Imperialist competitive algorithm-firefly algorithm (ICA-FA) algorithm; Investment; Mathematical programming; multiperiod portfolio multiple criteria decision-making; Multiple criterion; Multiple objective analysis; Numerical models; Optimization; Optimization models; Portfolios; Programming; Security; uncertain variables; Uncertainty

This paper deals with a multiperiod portfolio selection problem in an uncertain investment environment, in which the returns of securities are assumed to be uncertain variables and determined by experts' subjective evaluation. Based on uncertain theory, we present a novel multiperiod multiobjec...