Fuzzy Multi-objective Particle Swarm Optimization Solving the Three-Objective Portfolio Optimization Problem

Int. J. Fuzzy Syst., pp. 2760-2768, 2020.

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Abstract:

In this paper, the portfolio optimization problem is approached. It is a NP-hard problem that consists in periodically creating an instance of the problem, using the time series of the shares value of a stock exchange. The instance is solved to determine the shares set that maximize the return, minimize the risk and minimize the number of...More

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