Fuzzy stochastic price scenario based portfolio selection and its application to BSE using genetic algorithm

摘要

This paper is concerned with portfolio selection problem using a fuzzy stochastic price scenario. In this scenario, a ratio factor (k) is calculated from the historical data to generated the future price of the stocks of Bombay Stock Exchange. The ratio factor k of different stocks are treated as a fuzzy numbers, which in turn gives future fuzzy prices of the stocks. Returns on the stocks are calculated from the future price of the stocks. Rejection of the assets are done based on returns calculated from the worst case scenario. If the returns of an asset exceed the investor's risk tolerance then the asset are not included in the portfolio. The definition of capital budget has been reformed to include the transaction cost with the capital budget. This process is implemented in two stage multi-objective fuzzy probabilistic programming problem which is then solved using a fuzzy genetic algorithm to obtain maximum short term and long term returns. A case study of Bombay Stock Exchange is provided to illustrate the above model. (C) 2017 Elsevier B.V. All rights reserved.