GASRP-FP: A hybrid metaheuristic to solve fuzzy portfolio selection with non-financial goals
José Manuel Cadenas, Mª Carmen Garrido, Raquel Martínez, Clara Calvo, Carlos Ivorra, Vicente Liern
José Manuel Cadenas
Available Online June 2015.
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
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 -