{"title":"A Fuzzy Portfolio Model With Cardinality Constraints Based on Differential Evolution Algorithms","authors":"JianDong He","doi":"10.4018/ijdwm.341268","DOIUrl":null,"url":null,"abstract":"Uncertain information in the securities market exhibits fuzziness. In this article, expected returns and liquidity are considered as trapezoidal fuzzy numbers. The possibility mean and mean absolute deviation of expected returns represent the returns and risks of securities assets, while the possibility mean of expected turnover represents the liquidity of securities assets. Taking into account practical constraints such as cardinality and transaction costs, this article establishes a fuzzy portfolio model with cardinality constraints and solves it using the differential evolution algorithm. Finally, using fuzzy c-means clustering algorithm, 12 stocks are selected as empirical samples to provide numerical calculation examples. At the same time, fuzzy c-means clustering algorithm is used to cluster the stock yield data and analyse the stock data comprehensively and accurately, which provides a reference for establishing an effective portfolio.","PeriodicalId":54963,"journal":{"name":"International Journal of Data Warehousing and Mining","volume":null,"pages":null},"PeriodicalIF":0.5000,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Data Warehousing and Mining","FirstCategoryId":"94","ListUrlMain":"https://doi.org/10.4018/ijdwm.341268","RegionNum":4,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"COMPUTER SCIENCE, SOFTWARE ENGINEERING","Score":null,"Total":0}
引用次数: 0
Abstract
Uncertain information in the securities market exhibits fuzziness. In this article, expected returns and liquidity are considered as trapezoidal fuzzy numbers. The possibility mean and mean absolute deviation of expected returns represent the returns and risks of securities assets, while the possibility mean of expected turnover represents the liquidity of securities assets. Taking into account practical constraints such as cardinality and transaction costs, this article establishes a fuzzy portfolio model with cardinality constraints and solves it using the differential evolution algorithm. Finally, using fuzzy c-means clustering algorithm, 12 stocks are selected as empirical samples to provide numerical calculation examples. At the same time, fuzzy c-means clustering algorithm is used to cluster the stock yield data and analyse the stock data comprehensively and accurately, which provides a reference for establishing an effective portfolio.
期刊介绍：
The International Journal of Data Warehousing and Mining (IJDWM) disseminates the latest international research findings in the areas of data management and analyzation. IJDWM provides a forum for state-of-the-art developments and research, as well as current innovative activities focusing on the integration between the fields of data warehousing and data mining. Emphasizing applicability to real world problems, this journal meets the needs of both academic researchers and practicing IT professionals.The journal is devoted to the publications of high quality papers on theoretical developments and practical applications in data warehousing and data mining. Original research papers, state-of-the-art reviews, and technical notes are invited for publications. The journal accepts paper submission of any work relevant to data warehousing and data mining. Special attention will be given to papers focusing on mining of data from data warehouses; integration of databases, data warehousing, and data mining; and holistic approaches to mining and archiving
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