Fuzzy multi-period portfolio selection optimization models using multiple criteria

Automatica ◽  
2012 ◽  
Vol 48 (12) ◽  
pp. 3042-3053 ◽  
Author(s):  
Yong-Jun Liu ◽  
Wei-Guo Zhang ◽  
Wei-Jun Xu
2021 ◽  
Vol 40 (2) ◽  
pp. 1945-1955
Author(s):  
Maria Bernal ◽  
Pavel Anselmo Alvarez ◽  
Manuel Muñoz ◽  
Ernesto Leon-Castro ◽  
Diego Alonso Gastelum-Chavira

The objective of the paper is to present a multiple criteria hierarchical process (MCHP) approach for portfolio selection in a stock exchange. One of the problems that investors usually face is which stock should be included in the portfolio. This paper helps investors answer that question, and the paper presents an MCHP approach using different criteria based on financial ratios that the decision maker (in this case, the investor) will give different weights to make a portfolio based on her preferences; different importance is given to each criterion. An example using the Mexican Stock Exchange is presented.


2003 ◽  
Vol 29 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Jinyun Ke ◽  
Mieko Ogura ◽  
William S.-Y. Wang

In this study, optimization models using genetic algorithms (GAs) are proposed to study the configuration of vowels and tone systems. As in previous explanatory models that have been used to study vowel systems, certain criteria, which are assumed to be the principles governing the structure of sound systems, are used to predict optimal vowels and tone systems. In most of the earlier studies only one criterion has been considered. When two criteria are considered, they are often combined into one scalar function. The GA model proposed for the study of tone systems uses a Pareto ranking method that is highly applicable for dealing with optimization problems having multiple criteria. For optimization of tone systems, perceptual contrast and markedness complexity are considered simultaneously. Although the consistency between the predicted systems and the observed systems is not as significant as those obtained for vowel systems, further investigation along this line is promising.


1998 ◽  
Vol 12 (1) ◽  
pp. 73-94 ◽  
Author(s):  
Oswald J. Schmitz ◽  
Jared L. Cohon ◽  
Kristina D. Rothley ◽  
Andrew P. Beckerman

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