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

by Mir Ehsan Hesam Sadati, Jamshid Bagherzadeh Mohasefi
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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
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  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

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