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Please use this identifier to cite or link to this item: http://repository.iitr.ac.in/handle/123456789/9829
Title: A fuzzy interactive approach for optimal portfolio management
Authors: Deep K.
Singh K.P.
Kansal M.L.
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/123456789/9829
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]

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