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A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios


  • Yue, Wei
  • Wang, Yuping


Due to the important effect of the higher order moments to portfolio returns, the aim of this paper is to make use of the third and fourth moments for fuzzy multi-objective portfolio selection model. Firstly, in order to overcome the low diversity of the obtained solution set and lead to corner solutions for the conventional higher moment portfolio selection models, a new entropy function based on Minkowski measure is proposed as a new objective function and a novel fuzzy multi-objective weighted possibilistic higher order moment portfolio model is presented. Secondly, to solve the proposed model efficiently, a new multi-objective evolutionary algorithm is designed. Thirdly, several portfolio performance evaluation techniques are used to evaluate the performance of the portfolio models. Finally, some experiments are conducted by using the data of Shanghai Stock Exchange and the results indicate the efficiency and effectiveness of the proposed model and algorithm.

Suggested Citation

  • Yue, Wei & Wang, Yuping, 2017. "A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 124-140.
  • Handle: RePEc:eee:phsmap:v:465:y:2017:i:c:p:124-140
    DOI: 10.1016/j.physa.2016.08.009

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    References listed on IDEAS

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    9. Jacques Pezier & Anthony White, 2006. "The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios," ICMA Centre Discussion Papers in Finance icma-dp2006-10, Henley Business School, Reading University.
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