http://repository.iitr.ac.in/handle/123456789/14937| Title: | A fuzzy interactive approach for optimal portfolio management |
| Authors: | Deep, K. Singh K.P. Kansal, Mitthan Lal Mohan C. |
| Published in: | OPSEARCH |
| Abstract: | Portfolio management problem is a multiobjective optimization problem in which some or all objectives are confl icting to each other. In real life, practitioners (investors) have an aim to choose his/her optimal portfolio with individual preferences for each objective. In this paper, a fuzzy interactive method is used to solve portfolio management problem. Using this approach, fi rstly, fuzzy goal is defi ned for each objective, keeping investor preferences in view, and then these fuzzy goals are aggregated using product operator. After that, the resultant problem is solved using a real coded genetic algorithm. An illustrated example is also provided. © Operational Research Society of India. |
| Citation: | OPSEARCH (2009), 46(1): 69-88 |
| URI: | https://doi.org/10.1007/s12597-009-0005-2 http://repository.iitr.ac.in/handle/123456789/14937 |
| Issue Date: | 2009 |
| Keywords: | Genetic algorithm Interactive method Portfolio management |
| ISSN: | 303887 |
| Author Scopus IDs: | 8561208900 56227275100 6602727475 7102974102 |
| Author Affiliations: | Deep, K., Department of Mathematics, Indian Institute of Technology, Roorkee - 247667, Uttarakhand, India Singh, K.P., Department of Mathematics, Indian Institute of Technology, Roorkee - 247667, Uttarakhand, India Kansal, M.L., Department of Water Resources Development and Management, Indian Institute of Technology, Roorkee - 247667, Uttarakhand, India Mohan, C., Ambala College of Engineering and Applied Research, Ambala, Haryana, India |
| Funding Details: | One of the the authors (Krishna Pratap Singh) would like to thank Council for Scientific and Industrial Research (CSIR), New Delhi, India, for providing him the financial support vide grant number 09/143(0504)/2004-EMR-I. |
| Corresponding Author: | Deep, K.; Department of Mathematics, Indian Institute of Technology, Roorkee - 247667, Uttarakhand, India; email: kusumfma@iitr.ernet.in |
| Appears in Collections: | Journal Publications [MA] Journal Publications [WR] |
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