Intelligent Method for Solving Optimal Strategy of Dynamic Portfolio Selection with Credibility Criterion

Author

Wang, Yanqing

Author_Institution

Coll. of Safety Sci. & Eng., Civil Aviation Univ. of China, Tianjin

Volume

1

fYear

0

fDate

0-0 0

Firstpage

3325

Lastpage

3329

Abstract

The problem of dynamic portfolio selection with credibility criterion is investigated. The criterion function is the sum of credibility that the return rate of portfolio at the end of each period is not lower than a given one. Since the criterion function can not be calculated by analytic formulation and the model can not be converted to it crisp equivalent, the traditional methods for solving them are no longer valid. The purpose of this paper, therefore, focuses on designing a new method for the problem of dynamic portfolio selection with credibility criterion. The fuzzy simulation based genetic algorithm and artificial neural network are embedded within dynamic programming, and the intelligent method for solving the optimal problem is given. An illustrative example shows that this intelligent method is efficient

Keywords

dynamic programming; fuzzy set theory; genetic algorithms; intelligent control; investment; neural nets; artificial neural network; credibility criterion; criterion function; dynamic portfolio selection; dynamic programming; fuzzy simulation; genetic algorithm; intelligent method; Artificial intelligence; Artificial neural networks; Dynamic programming; Educational institutions; Fuzzy neural networks; Genetic algorithms; Intelligent networks; Portfolios; Stochastic processes; Uncertainty; artificial neural network; credibility criterion; dynamic portfolio selection; fuzzy simulation; genetic algorithm;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Control and Automation, 2006. WCICA 2006. The Sixth World Congress on

Conference_Location

Dalian

Print_ISBN

1-4244-0332-4

Type

conf

DOI

10.1109/WCICA.2006.1712983

Filename

1712983