Proceedings of the 2015 Conference of the International Fuzzy Systems Association and the European Society for Fuzzy Logic and Technology

GASRP-FP: A hybrid metaheuristic to solve fuzzy portfolio selection with non-financial goals

Authors
José Manuel Cadenas, Mª Carmen Garrido, Raquel Martínez, Clara Calvo, Carlos Ivorra, Vicente Liern
Corresponding Author
José Manuel Cadenas
Available Online June 2015.
DOI
https://doi.org/10.2991/ifsa-eusflat-15.2015.111How to use a DOI?
Keywords
Portfolio selection, efficient frontier, socially responsible investment, genetic algorithm.
Abstract
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.

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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  -