Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm
|International Journal of Engineering Trends and Technology (IJETT)||
|© 2014 by IJETT Journal|
|Year of Publication : 2014|
|Authors : Mir Ehsan Hesam Sadati , Ali Doniavi
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
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.
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portfolio Selection, Harmony search algorithm, Possibility-based model, Fuzzy random variables.