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A Hierarchical Fuzzy Portfolio Selection Process Considering Transaction Costs with a Hybrid Intelligent Algorithm

A Hierarchical Fuzzy Portfolio Selection Process Considering Transaction Costs with a Hybrid Intelligent Algorithm

Masoud Rabbani, Seyyed Mostafa Bahadornia
Copyright: © 2013 |Volume: 4 |Issue: 3 |Pages: 19
ISSN: 1947-8569|EISSN: 1947-8577|EISBN13: 9781466634145|DOI: 10.4018/jsds.2013070105
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MLA

Rabbani, Masoud, and Seyyed Mostafa Bahadornia. "A Hierarchical Fuzzy Portfolio Selection Process Considering Transaction Costs with a Hybrid Intelligent Algorithm." IJSDS vol.4, no.3 2013: pp.90-108. http://doi.org/10.4018/jsds.2013070105

APA

Rabbani, M. & Bahadornia, S. M. (2013). A Hierarchical Fuzzy Portfolio Selection Process Considering Transaction Costs with a Hybrid Intelligent Algorithm. International Journal of Strategic Decision Sciences (IJSDS), 4(3), 90-108. http://doi.org/10.4018/jsds.2013070105

Chicago

Rabbani, Masoud, and Seyyed Mostafa Bahadornia. "A Hierarchical Fuzzy Portfolio Selection Process Considering Transaction Costs with a Hybrid Intelligent Algorithm," International Journal of Strategic Decision Sciences (IJSDS) 4, no.3: 90-108. http://doi.org/10.4018/jsds.2013070105

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Abstract

This article presents a hierarchical process for multiobjective portfolio selection in fuzzy environment. Methodology proposed in this paper is consist of three main steps; (a) determining weight of each objective including return, risk and liquidity, by fuzzy logarithmic least square according to investors' preferences matrix by the means of DE algorithm, (b&c) assigning pareto frontiers of problem and computing portion of each security by multiobjective mathematical programming in accordance to obtained weights by the means of GA. Also transaction cost related to each security which are rarely considered in previous works are brought in the authors’ model.

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