Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm
Journal Title: INTERNATIONAL JOURNAL OF ENGINEERING TRENDS AND TECHNOLOGY - Year 2014, Vol 8, Issue 2
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 and Affiliations
Mir Ehsan Hesam Sadati , Ali Doniavi
Keywords
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