Problem of Fuzzy Portfolio Optimization Under Uncertainty and Its Solution with Application of Computational Intelligence Methods

Author(s):  
Mikhail Z. Zgurovsky ◽  
Yuriy P. Zaychenko
Engevista ◽  
2014 ◽  
Vol 17 (2) ◽  
pp. 152
Author(s):  
Radael De Souza Parolin ◽  
Pedro Paulo Gomes Watts Rodrigues ◽  
Antônio J. Silva Neto

The quality of a given water body can be assessed through the analysis of a number of indicators. Mathematical and computational models can be built to simulate the behavior of these indicators (observable variables), in such a way that different scenarios can be generated, supporting decisions regarding water resources management. In this study, the transport of a conservative contaminant in an estuarine environment is simulated in order to identify the position and intensity of the contaminant source. For this, it was formulated an inverse problem, which was solved through computational intelligence methods. This approach required adaptations to these methods, which had to be modified to relate the source position to the discrete mesh points of the domain. In this context, two adaptive techniques were developed. In one, the estimated points are projected to the grid points, and in the other, points are randomly selected in the iterative search spaces of the methods. The results showed that the methodology here developed has a strong potential in water bodies’ management and simulation.


Mathematics ◽  
2021 ◽  
Vol 9 (18) ◽  
pp. 2339
Author(s):  
Mahboubeh Farid ◽  
Hampus Hallman ◽  
Mikael Palmblad ◽  
Johannes Vänngård

This paper presents the study of multi-objective optimization of a pharmaceutical portfolio when both cost and return values are uncertain. Decision makers in the pharmaceutical industry encounter several challenges in deciding the optimal selection of drug projects for their portfolio since they have to consider several key aspects such as a long product-development process split into multiple phases, high cost and low probability of success. Additionally, the optimization often involves more than a single objective (goal) with a non-deterministic nature. The aim of the study is to develop a stochastic multi-objective approach in the frame of chance-constrained goal programming. The application of the results of this study allows pharmaceutical decision makers to handle two goals simultaneously, where one objective is to achieve a target return and another is to keep the cost within a finite annual budget. Finally, the numerical results for portfolio optimization are presented and discussed.


Sign in / Sign up

Export Citation Format

Share Document