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- Publisher Website: 10.1007/s10700-019-09308-6
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Article: On Product of Positive L-R Fuzzy Numbers and its Application to Multi-period Portfolio Selection Problems
Title | On Product of Positive L-R Fuzzy Numbers and its Application to Multi-period Portfolio Selection Problems |
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Authors | |
Keywords | Fuzzy sets Fuzzy arithmetic Positive L-R fuzzy number Multi-period portfolio selection |
Issue Date | 2020 |
Publisher | Springer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1568-4539 |
Citation | Fuzzy Optimization and Decision Making, 2020, v. 19, p. 53-79 How to Cite? |
Abstract | With the wide applications of fuzzy theory in optimization, fuzzy arithmetic attracts great attention due to its inevitability in solution process. However, the complexity of the Zadeh extension principle significantly reduces the practicability of fuzzy optimization technology. In this paper, we prove some important properties on positive L-R fuzzy numbers, and propose a new calculation method for the product of multiple positive L-R fuzzy numbers. Furthermore, a numerical integral-based simulation algorithm (NISA) is proposed to approximate the expected value, variance and skewness of the product of positive L-R fuzzy numbers. As applications, a fuzzy multi-period utility maximization model for portfolio selection problem is considered. For handling the large number of multiplications on L-R fuzzy numbers during the optimization process, a genetic algorithm integrating NISA is designed. Finally, some numerical experiments are presented to demonstrate the advantages of NISA. The results greatly enrich the fuzzy arithmetic methods and promote the practicability of fuzzy optimization technology. |
Persistent Identifier | http://hdl.handle.net/10722/280956 |
ISSN | 2021 Impact Factor: 5.274 2020 SCImago Journal Rankings: 0.747 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Li, X | - |
dc.contributor.author | Jiang, H | - |
dc.contributor.author | GUO, S | - |
dc.contributor.author | Ching, WK | - |
dc.contributor.author | Yu, L | - |
dc.date.accessioned | 2020-02-25T07:43:14Z | - |
dc.date.available | 2020-02-25T07:43:14Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Fuzzy Optimization and Decision Making, 2020, v. 19, p. 53-79 | - |
dc.identifier.issn | 1568-4539 | - |
dc.identifier.uri | http://hdl.handle.net/10722/280956 | - |
dc.description.abstract | With the wide applications of fuzzy theory in optimization, fuzzy arithmetic attracts great attention due to its inevitability in solution process. However, the complexity of the Zadeh extension principle significantly reduces the practicability of fuzzy optimization technology. In this paper, we prove some important properties on positive L-R fuzzy numbers, and propose a new calculation method for the product of multiple positive L-R fuzzy numbers. Furthermore, a numerical integral-based simulation algorithm (NISA) is proposed to approximate the expected value, variance and skewness of the product of positive L-R fuzzy numbers. As applications, a fuzzy multi-period utility maximization model for portfolio selection problem is considered. For handling the large number of multiplications on L-R fuzzy numbers during the optimization process, a genetic algorithm integrating NISA is designed. Finally, some numerical experiments are presented to demonstrate the advantages of NISA. The results greatly enrich the fuzzy arithmetic methods and promote the practicability of fuzzy optimization technology. | - |
dc.language | eng | - |
dc.publisher | Springer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1568-4539 | - |
dc.relation.ispartof | Fuzzy Optimization and Decision Making | - |
dc.rights | This is a post-peer-review, pre-copyedit version of an article published in [insert journal title]. The final authenticated version is available online at: http://dx.doi.org/[insert DOI] | - |
dc.subject | Fuzzy sets | - |
dc.subject | Fuzzy arithmetic | - |
dc.subject | Positive L-R fuzzy number | - |
dc.subject | Multi-period portfolio selection | - |
dc.title | On Product of Positive L-R Fuzzy Numbers and its Application to Multi-period Portfolio Selection Problems | - |
dc.type | Article | - |
dc.identifier.email | Ching, WK: wching@hku.hk | - |
dc.identifier.authority | Ching, WK=rp00679 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s10700-019-09308-6 | - |
dc.identifier.scopus | eid_2-s2.0-85073924779 | - |
dc.identifier.hkuros | 309249 | - |
dc.identifier.volume | 19 | - |
dc.identifier.spage | 53 | - |
dc.identifier.epage | 79 | - |
dc.identifier.isi | WOS:000518771500004 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 1568-4539 | - |