Title :
Fuzzy evolutionary programming for portfolio selection in investment
Author_Institution :
Sch. of Comput., Univ. of Canberra, ACT, Australia
Abstract :
The problem of portfolio selection in investment is concerned with minimizing the risk for a prespecified level of return. In this paper, the constraint on the level of return is fuzzified and the technique of fuzzy evolutionary programming is used to select an optimal portfolio of securities with low risk and a highly acceptable level of total return. Experimental results show the method is highly effective. The problem to select a portfolio with low risk and high probability of expected return is resolved in the same manner
Keywords :
evolutionary computation; fuzzy set theory; investment; mathematical programming; expected return; fuzzy evolutionary programming; investment; portfolio selection; probability; Australia; Constraint optimization; Energy resolution; Fuzzy control; Fuzzy sets; Genetic programming; Investments; Portfolios; Security; Shape control;
Conference_Titel :
Intelligent Processing and Manufacturing of Materials, 1999. IPMM '99. Proceedings of the Second International Conference on
Conference_Location :
Honolulu, HI
Print_ISBN :
0-7803-5489-3
DOI :
10.1109/IPMM.1999.792575
