JACIII Vol.19 No.5 pp. 619-623
doi: 10.20965/jaciii.2015.p0619


Portfolio Optimization of Financial Returns Using Fuzzy Approach with NSGA-II Algorithm

Jirakom Sirisrisakulchai*,†, Kittawit Autchariyapanitkul**, Napat Harnpornchai*, and Songsak Sriboonchitta*

*Faculty of Economics, Chiang Mai University
Chiang Mai 52000, Thailand

**Faculty of Economics, Maejo University
Chiang Mai 52090, Thailand

Corresponding author

September 29, 2014
May 9, 2015
September 20, 2015
fuzzy portfolio optimization, possibilistic mean, possibilistic semivariance, NSGA-II
This paper applied possibilistic approaches to a portfolio selection model. We considered a return rate as fuzzy variables. Based on the concept of possibilistic moments of fuzzy numbers, fuzzy stock returns and market risks are quantified by possibilistic mean and lower possibilistic semivariance, respectively. The non-dominated sorting genetic algorithm II (NSGA-II) was used to obtain the pareto optimal investment strategies for the integrated oil and gas company stocks.
Cite this article as:
J. Sirisrisakulchai, K. Autchariyapanitkul, N. Harnpornchai, and S. Sriboonchitta, “Portfolio Optimization of Financial Returns Using Fuzzy Approach with NSGA-II Algorithm,” J. Adv. Comput. Intell. Intell. Inform., Vol.19 No.5, pp. 619-623, 2015.
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