Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm
Year: 2014
Type: article
Abstract: This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at applying possibility-based models for transforming the fuzzy random variables to the linear programming. The harmony search algorithm approaches to resolve the portfolio selection problem with the objective of return maximization is applied. We provide a numerical example to illustrate the proposed model. The results show that the evolutionary method of this paper with harmony search algorithm, can consistently handle the practical portfolio selection problem.
Authors: Mir Ehsan Hesam Sadati, Ali Doniavi
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2126548387