GASRP-FP: A hybrid metaheuristic to solve fuzzy portfolio selection with non-financial goals
- https://doi.org/10.2991/ifsa-eusflat-15.2015.111How to use a DOI?
- Portfolio selection, efficient frontier, socially responsible investment, genetic algorithm.
The emergence of more powerful computational techniques has stimulated the development and study of more sophisticated models for portfolio selection problem including further constraints and further financial and non-financial decision criteria. In this paper, we propose a hybrid approach composed of two genetic algorithms to solve a fuzzy portfolio selection model with cardinality constraints, semicontinuous variable and non-financial goals. An analytical description of the efficient frontier and socially responsible solutions are obtained.
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - José Manuel Cadenas AU - Mª Carmen Garrido AU - Raquel Martínez AU - Clara Calvo AU - Carlos Ivorra AU - Vicente Liern PY - 2015/06 DA - 2015/06 TI - GASRP-FP: A hybrid metaheuristic to solve fuzzy portfolio selection with non-financial goals BT - Proceedings of the 2015 Conference of the International Fuzzy Systems Association and the European Society for Fuzzy Logic and Technology PB - Atlantis Press SP - 784 EP - 791 SN - 1951-6851 UR - https://doi.org/10.2991/ifsa-eusflat-15.2015.111 DO - https://doi.org/10.2991/ifsa-eusflat-15.2015.111 ID - Cadenas2015/06 ER -