Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm

Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm

  IJETT-book-cover  International Journal of Engineering Trends and Technology (IJETT)          
  
© 2014 by IJETT Journal
Volume-8 Number-2                          
Year of Publication : 2014
Authors :  Mir Ehsan Hesam Sadati , Ali Doniavi
  10.14445/22315381/IJETT-V8P212

Citation 

Mir Ehsan Hesam Sadati , Ali Doniavi."Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm", International Journal of Engineering Trends and Technology(IJETT), 8(2),60-64 February 2014. ISSN:2231-5381. www.ijettjournal.org. published by seventh sense research group

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.

References

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Keywords
portfolio Selection, Harmony search algorithm, Possibility-based model, Fuzzy random variables.