Modelling and constructing membership function for uncertain portfolio parameters: A credibilistic framework

作者：

Highlights：

• A new method for getting fuzzy number from data without expert’s inputs is proposed.

• Credibilistic models with return and illiquidity of entire portfolio are considered.

• A new GA is proposed to solve cardinality constrained portfolio optimization models.

• Credibilistic Sharpe ratio is used to compare the performance of models proposed.

摘要

•A new method for getting fuzzy number from data without expert’s inputs is proposed.•Credibilistic models with return and illiquidity of entire portfolio are considered.•A new GA is proposed to solve cardinality constrained portfolio optimization models.•Credibilistic Sharpe ratio is used to compare the performance of models proposed.

论文关键词：Fuzzy portfolio selection,Credibility measure,L-R Fuzzy numbers,Multi-objective programming,Credibilistic sharpe ratio,Genetic algorithm

论文评审过程：Received 10 April 2016, Revised 8 November 2016, Accepted 9 November 2016, Available online 19 November 2016, Version of Record 28 November 2016.

论文官网地址：https://doi.org/10.1016/j.eswa.2016.11.014

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