DocumentCode
2344052
Title
Multiobjective Mean-Variance-Skewness Model Portfolio Selection Based Fuzzy Two Phased Method
Author
Chen, Guohua ; Xing Yu ; Liao, Xiaolian
Author_Institution
Dept. of Math., Hunan Inst. of Humanities Sci. & Technol., Loudi, China
fYear
2011
fDate
15-19 April 2011
Firstpage
219
Lastpage
222
Abstract
In this study, Multiobjective Mean-Variance-Skewness Model for Optimal Portfolio Selection is formulated, In order to solve the proposed models, a fuzzy two-phased algorithm is designed. Finally, a numerical example is given to illustrate the modeling ideas and the effectiveness of the proposed algorithm.
Keywords
fuzzy set theory; investment; statistical distributions; fuzzy two phased method; multiobjective mean variance skewness model portfolio selection; optimal portfolio selection; Algorithm design and analysis; Computational modeling; Finance; Numerical models; Optimization; Portfolios; Programming; Mean variance skewness model; fuzzy two-phased method; portfolio selection;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location
Yunnan
Print_ISBN
978-1-4244-9712-6
Electronic_ISBN
978-0-7695-4335-2
Type
conf
DOI
10.1109/CSO.2011.169
Filename
5957646
Link To Document