Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/54327
Title: Portfolio optimization of financial returns using fuzzy approach with NSGA-II algorithm
Authors: Jirakom Sirisrisakulchai
Kittawit Autchariyapanitkul
Napat Harnpornchai
Songsak Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Sep-2015
Abstract: This paper applied possibilistic approaches to a portfolio selection model. We considered a return rate as fuzzy variables. Based on the concept of possibilistic moments of fuzzy numbers, fuzzy stock returns and market risks are quantified by possibilistic mean and lower possibilistic semivariance, respectively. The non-dominated sorting genetic algorithm II (NSGA-II) was used to obtain the pareto optimal investment strategies for the integrated oil and gas company stocks.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84943392205&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54327
ISSN: 18838014
13430130
Appears in Collections:CMUL: Journal Articles

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