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Fuzzy Portfolio Optimization

Advances in Hybrid Multi-criteria Methodologies

  • Book
  • © 2014

Overview

Authors:
  1. Pankaj Gupta

    1. Department of Operational Research Faculty of Mathematical Sciences, University of Delhi, Delhi, India

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  2. Mukesh Kumar Mehlawat

    1. Department of Operational Research, Faculty of Mathematical Sciences, University of Delhi, Delhi, India

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  3. Masahiro Inuiguchi

    1. Department of Systems Innovation, Division of Mathematical Science for Social Systems, Osaka University,Graduate School of Engineering Science, Osaka, Japan

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  4. Suresh Chandra

    1. Department of Mathematics, Indian Institute of Technology, New Delhi, India

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  • 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)

  1. Front Matter

    Pages 1-15
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  2. Portfolio Optimization: An Overview

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 1-31

  3. Portfolio Optimization with Interval Coefficients

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 33-59

  4. Portfolio Optimization in Fuzzy Environment

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 61-80

  5. Possibilistic Programming Approaches to Portfolio Optimization

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 81-125

  6. Portfolio Optimization Using Credibility Theory

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 127-160

  7. Multi-criteria Fuzzy Portfolio Optimization

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 161-186

  8. Suitability Considerations in Multi-criteria Fuzzy Portfolio Optimization-I

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 187-222

  9. Suitability Considerations in Multi-criteria Fuzzy Portfolio Optimization-II

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 223-253

  10. Ethicality Considerations in Multi-criteria Fuzzy Portfolio Optimization

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 255-281

  11. Multi-criteria Portfolio Optimization Using Support Vector Machines and Genetic Algorithms

    • Pankaj Gupta, Mukesh Kumar Mehlawat, Masahiro Inuiguchi, Suresh Chandra
    Pages 283-309

  12. Back Matter

    Pages 311-319
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Keywords

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.

 

Authors and Affiliations

  • Department of Operational Research Faculty of Mathematical Sciences, University of Delhi, Delhi, India

    Pankaj Gupta

  • Department of Operational Research, Faculty of Mathematical Sciences, University of Delhi, Delhi, India

    Mukesh Kumar Mehlawat

  • Department of Systems Innovation, Division of Mathematical Science for Social Systems, Osaka University,Graduate School of Engineering Science, Osaka, Japan

    Masahiro Inuiguchi

  • 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

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