Authors:
- Offers a comprehensive report on the state-of-the-art in fuzzy portfolio optimization
- Makes the reader familiar with advanced optimization techniques for multi-criteria portfolio optimization models in an uncertain environment
- Written by leading experts in the field
Part of the book series: Studies in Fuzziness and Soft Computing (STUDFUZZ, volume 316)
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Table of contents (10 chapters)
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Front Matter
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Back Matter
About this book
This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean–variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.
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Authors and Affiliations
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Department of Operational Research Faculty of Mathematical Sciences, University of Delhi, Delhi, India
Pankaj Gupta
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Department of Operational Research, Faculty of Mathematical Sciences, University of Delhi, Delhi, India
Mukesh Kumar Mehlawat
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Department of Systems Innovation, Division of Mathematical Science for Social Systems, Osaka University,Graduate School of Engineering Science, Osaka, Japan
Masahiro Inuiguchi
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Department of Mathematics, Indian Institute of Technology, New Delhi, India
Suresh Chandra
Bibliographic Information
Book Title: Fuzzy Portfolio Optimization
Book Subtitle: Advances in Hybrid Multi-criteria Methodologies
Authors: Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
Series Title: Studies in Fuzziness and Soft Computing
DOI: https://doi.org/10.1007/978-3-642-54652-5
Publisher: Springer Berlin, Heidelberg
eBook Packages: Engineering, Engineering (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2014
Hardcover ISBN: 978-3-642-54651-8Published: 31 March 2014
Softcover ISBN: 978-3-662-50856-5Published: 03 September 2016
eBook ISBN: 978-3-642-54652-5Published: 17 March 2014
Series ISSN: 1434-9922
Series E-ISSN: 1860-0808
Edition Number: 1
Number of Pages: XVI, 320
Number of Illustrations: 54 b/w illustrations, 2 illustrations in colour
Topics: Computational Intelligence, Optimization, Economics, general