How to cite this paper
Soureh, H & Amanollahi, G. (2017). Comparative evaluation of fuzzy logic and genetic algorithms models for portfolio optimization.Management Science Letters , 7(5), 247-254.
Refrences
Alexander, G. J., & Baptista, A. M. (2002). Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control, 26(7), 1159-1193.
Alexander, S., Coleman, T. F., & Li, Y. (2006). Minimizing CVaR and VaR for a portfolio of deriva-tives. Journal of Banking & Finance, 30(2), 583-605.
Azar, A., & Faraji, H. (2008). Fuzzy management science. Tehran: IMPSC.
Chen, Y., Mabu, S., & Hirasawa, K. (2011). Genetic relation algorithm with guided mutation for the large-scale portfolio optimization. Expert Systems with Applications, 38(4), 3353-3363.
Fisher, L., & Weil, R. L. (1971). Coping with the risk of interest-rate fluctuations: returns to bond-holders from naive and optimal strategies. Journal of Business, 44(4), 408-431.
Holland, J. H. (1992). Genetic algorithms. Scientific American, 267(1), 66-72.
Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfoli-os. The Journal of Business, 42(2), 167-247.
Kahraman, C. (Ed.). (2008). Fuzzy multi-criteria decision making: theory and applications with recent developments (Vol. 16). Springer Science & Business Media.
Levy, H. (1984). Portfolio and investment selection: Theory and practice. Prentice Hall.
Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
Markowitz H. (1959). Portfolio allocation. John Wiley & Sons, Inc. New York. A Cowles Foundation Monograph.
Markowitz, H. M. (1991). Foundations of portfolio theory. The journal of finance, 46(2), 469-477.
Markowitz, H. M., & Todd, G. P. (2000). Mean-variance analysis in portfolio choice and capital mar-kets (Vol. 66). John Wiley & Sons.
Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. The review of Economics and Statistics, 247-257.
Roy, A.D. (1952). Safety First and the Holding of Assets. Econometrica, 20(3), 431-449.
Saaty, T. L. (1986). Axiomatic foundation of the analytic hierarchy process. Management sci-ence, 32(7), 841-855.
Samuelson, P. A. (1969). Lifetime portfolio selection by dynamic stochastic programming. The Re-view of Economics and Statistics, 51(3), 239-246.
Shiu, E. S. (1990). On Redington's theory of immunization. Insurance: Mathematics and Econom-ics, 9(2-3), 171-175.
Zadeh, L. A. (1965). Fuzzy sets. Information and control, 8(3), 338-353.
Alexander, S., Coleman, T. F., & Li, Y. (2006). Minimizing CVaR and VaR for a portfolio of deriva-tives. Journal of Banking & Finance, 30(2), 583-605.
Azar, A., & Faraji, H. (2008). Fuzzy management science. Tehran: IMPSC.
Chen, Y., Mabu, S., & Hirasawa, K. (2011). Genetic relation algorithm with guided mutation for the large-scale portfolio optimization. Expert Systems with Applications, 38(4), 3353-3363.
Fisher, L., & Weil, R. L. (1971). Coping with the risk of interest-rate fluctuations: returns to bond-holders from naive and optimal strategies. Journal of Business, 44(4), 408-431.
Holland, J. H. (1992). Genetic algorithms. Scientific American, 267(1), 66-72.
Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfoli-os. The Journal of Business, 42(2), 167-247.
Kahraman, C. (Ed.). (2008). Fuzzy multi-criteria decision making: theory and applications with recent developments (Vol. 16). Springer Science & Business Media.
Levy, H. (1984). Portfolio and investment selection: Theory and practice. Prentice Hall.
Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
Markowitz H. (1959). Portfolio allocation. John Wiley & Sons, Inc. New York. A Cowles Foundation Monograph.
Markowitz, H. M. (1991). Foundations of portfolio theory. The journal of finance, 46(2), 469-477.
Markowitz, H. M., & Todd, G. P. (2000). Mean-variance analysis in portfolio choice and capital mar-kets (Vol. 66). John Wiley & Sons.
Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. The review of Economics and Statistics, 247-257.
Roy, A.D. (1952). Safety First and the Holding of Assets. Econometrica, 20(3), 431-449.
Saaty, T. L. (1986). Axiomatic foundation of the analytic hierarchy process. Management sci-ence, 32(7), 841-855.
Samuelson, P. A. (1969). Lifetime portfolio selection by dynamic stochastic programming. The Re-view of Economics and Statistics, 51(3), 239-246.
Shiu, E. S. (1990). On Redington's theory of immunization. Insurance: Mathematics and Econom-ics, 9(2-3), 171-175.
Zadeh, L. A. (1965). Fuzzy sets. Information and control, 8(3), 338-353.