Fuzzy portfolio optimization : advances in hybrid multi-criteria methodologies / Pankaj Gupta...[et al.].
Material type:
TextSeries: Studies in fuzziness and soft computing ; v 316.Publication details: Berlin : Springer-Verlag, 2014.Description: xvi, 320 p. : illustrations ; 24 cmISBN: - 9783642546518
- 332.601511313 23 G977
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 332.601511313 G977 (Browse shelf(Opens below)) | Available | 137105 |
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| 332.60151 R826 Introduction to mathematical finance options and other topics | 332.60151 R826 Elementary introduction to mathematical finance options and other topics | 332.60151 W926 Mathematical finance | 332.601511313 G977 Fuzzy portfolio optimization : | 332.6015118 K84 Optimal portfolios | 332.6015118 L948 Investment science | 332.6015118 Si617 Empirical dynamic asset pricing |
Includes bibliographical references and index.
1. Portfolio optimization: an overview --
2. Portfolio optimization with interval coefficients --
3. Portfolio optimization in fuzzy environment --
4. Possibilistic programming approaches to portfolio optimization --
5. Portfolio optimization using credibility theory --
6. Multi-criteria fuzzy portfolio optimization --
7. Suitability considerations in multi-criteria fuzzy portfolio optimization-I --
8. Suitability considerations in multi-criteria fuzzy portfolio optimization-II --
9. Ethicality considerations in multi-criteria fuzzy portfolio optimization --
10. Multi-criteria portfolio optimization using support vector machines and genetic algorithms.
This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean-variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.
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