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Soft Computing approaches to portfolio selection

Enriqueta Vercher González
Departamento de Estadística e Investigación Operativa
Universitat de València
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  • Abstract
    Soft Computing has been widely applied in financial decision making problems. This paper provides a review of its applicability in portfolio selection, where fuzzy methodologies have been used either for modeling beliefs about the future performance of returns on portfolios or to verify the accomplishment of goals and constraints, including preferences stated by investors and the fulfilment of trade requirements. Additionally, it focuses on computational intelligence methods which provide new procedures for building efficient portfolios under more complex and realistic goals and constraints.
  • Keywords: Portfolio Selection, Soft Computing, Uncertainty Quantification, Possibility Theory, Multi-Objective Evolutionary Optimization.
  • AMS Subject classifications: 90B50, 90C29, 90C59, 90C70, 91G10.