CFP last date
20 January 2025
Call for Paper
February Edition
IJCA solicits high quality original research papers for the upcoming February edition of the journal. The last date of research paper submission is 20 January 2025

Submit your paper
Know more
The week's pick
Responsive image
SFLA-Based Line Balancing and Task Optimization in Master-Slave Controlled Hanger Transportation Systems for Garment Production

Duc Hoang Nguyen
Random Articles
Reseach Article

The Application of Imperialist Competitive Algorithm for Fuzzy Random Portfolio Selection Problem

by Mir Ehsan Hesam Sadati, Jamshid Bagherzadeh Mohasefi
journal cover thumbnail

International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 79 - Number 9
Year of Publication: 2013
Authors: Mir Ehsan Hesam Sadati, Jamshid Bagherzadeh Mohasefi
10.5120/13767-1618

Mir Ehsan Hesam Sadati, Jamshid Bagherzadeh Mohasefi . The Application of Imperialist Competitive Algorithm for Fuzzy Random Portfolio Selection Problem. International Journal of Computer Applications. 79, 9 ( October 2013), 10-14. DOI=10.5120/13767-1618

@article{ 10.5120/13767-1618,
author = { Mir Ehsan Hesam Sadati, Jamshid Bagherzadeh Mohasefi },
title = { The Application of Imperialist Competitive Algorithm for Fuzzy Random Portfolio Selection Problem },
journal = { International Journal of Computer Applications },
issue_date = { October 2013 },
volume = { 79 },
number = { 9 },
month = { October },
year = { 2013 },
issn = { 0975-8887 },
pages = { 10-14 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume79/number9/13767-1618/ },
doi = { 10.5120/13767-1618 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T21:52:32.956262+05:30
%A Mir Ehsan Hesam Sadati
%A Jamshid Bagherzadeh Mohasefi
%T The Application of Imperialist Competitive Algorithm for Fuzzy Random Portfolio Selection Problem
%J International Journal of Computer Applications
%@ 0975-8887
%V 79
%N 9
%P 10-14
%D 2013
%I Foundation of Computer Science (FCS), NY, USA
Abstract

This paper presents an implementation of the Imperialist Competitive Algorithm (ICA) for solving the fuzzy random portfolio selection problem where the asset returns are represented by fuzzy random variables. Portfolio Optimization is an important research field in modern finance. By using the necessity-based model, fuzzy random variables reformulate to the linear programming and ICA will be designed to find the optimum solution. To show the efficiency of the proposed method, a numerical example illustrates the whole idea on implementation of ICA for fuzzy random portfolio selection problem.

References
  1. M. E. Hesam sadati, J. Nematian, " Two-level linear programming for fuzzy random portfolio optimization through possibility and necessity-based model", Procedia Economics and finance 5 (2013) 657-666
  2. H. Markowitz, "Portfolio selection", Journal of Finance 7 (1952) 77–91.
  3. Y. Crama, M. Schyns, "Simulated annealing for complex portfolio selectitn problems", European Journal of Operational Research 150 (2003) 546–571.
  4. Y. Xia, B. Liu, S. Wang, K. lai, "A model for portfolio selection with order of expected returns", Computers and Operations Research 27 (2000) 409–422.
  5. H. Kwakernaak, "Fuzzy random variables", De?nitions and theorems, Inf. Sci 15 (1978) 1.
  6. M. L. Puri, D. A. Ralescu, "Fuzzy random variables", Journal of Math and Anal 114 (1986) 409.
  7. G. Mokhtari, et al. "Application of Imperialist Competitive Algorithm to Solve Constrained Economic Dispatch", International Journal on Elctrical Engineering and Informations, 4 (2012) 4
  8. M. Sakawa, "Fuzzy Sets and Interactive Multi-objective Optimization", Plenum Press, New York (1993)
  9. L. A. Zadeh, "Fuzzy sets. Informations and controls", 8 (1965) 338–353.
  10. H. Katagiri, M. Sakawa, K. Kato, "Interactive multi-objective fuzzy random linear programming: maximization of possibility and probability", European journal of operational research 188 (2008) 530.
  11. E. Atashpaz-Gargari, C. Lucas, "Imperialist Competitive Algorithm: An Algorithm for Optimization Inspired by Imperialistic Competition", IEEE Congress on Evolutionary Computation, (2007)
  12. C. A. Coello Coello, " Theoretical and Numerical Constraint-Handling Techniques used with Evolutionary Algorithms: A Survey of the State of the Art", Computer Methods in Applied Mechanics and Engineering, 191 (2002) 1245-1278
Index Terms

Computer Science
Information Sciences

Keywords

imperialist competitive algorithm portfolio selection problem necessity-based model fuzzy random variables

Powered by PhDFocusTM