Fuzzy portfolio selection under down risk measure by hybrid intelligent algorithm

Subject Areas : Journal of Investment Knowledge

Hojat Ansari ¹ , Adel Behzadi ^{2 *} , Mostafa Emamdoost ³

1 - Assistant Prof, Alzahra university
2 - PhD candidate of financial engineering university of Tehran
3 - PhD candidate of financial management, University of Tehran

Received: 2018-01-29 Accepted : 2018-04-17 Published : 2019-06-22

Keywords: Fuzzy portfolio optimization, down risk measurement, credibility theory, evolutionary algorithm, economic performance measureme,

Abstract :

Portfolio optimization is one of more important problems in financial area. The classic model consider that stocks is random variable with symmetric probability density function. But in real world, forecasting stock condition always faced with uncertainty and we need insert human factors in our forecasting. Fuzzy logic is one of methods that we can use this to model this condition. On other hand, experimental studies show that assets return isn’t normal and symmetric, so we should use down risk measure such as semi variance and semi absolute deviation.  In this research we consider two point in portfolio selection problem. Then we use two intelligent method based genetic and deferential evolutionary algorithm for solving the models. Making use of Tehran Stock Exchange data, it is concluded that considering semi absolute deviation has higher efficiency than semi variance model and intelligent method based deferential evolutionary algorithm has higher efficiency from intelligent method based genetic algorithm.

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