About: In this paper, a novel bacterial foraging optimization with decreasing chemotaxis step combined with sine function is employed to solve a fuzzy portfolio optimization with a modified mean-semivariance-skewness model which includes the transaction fee and no short sales. First of all, a decreasing chemotaxis step combined with sine function (BFO-SDC) takes the place of constant chemotaxis step size. It is a nonlinear decreasing strategy at every iteration of the algorithm. And then, the variance is replaced by semivariance and skewness is taken into account in order to generate asymmetry of return distributions to overcome the inadequacy of the standard mean-variance model. Finally, fuzzy variables are used to express the uncertain and imprecise elements in the decision-making process. The results of the simulation show that the model can be solved more reasonably and effectively by BFO-SDC than the original bacterial foraging optimization.   Goto Sponge  NotDistinct  Permalink

An Entity of Type : fabio:Abstract, within Data Space : wasabi.inria.fr associated with source document(s)

AttributesValues
type
value
  • In this paper, a novel bacterial foraging optimization with decreasing chemotaxis step combined with sine function is employed to solve a fuzzy portfolio optimization with a modified mean-semivariance-skewness model which includes the transaction fee and no short sales. First of all, a decreasing chemotaxis step combined with sine function (BFO-SDC) takes the place of constant chemotaxis step size. It is a nonlinear decreasing strategy at every iteration of the algorithm. And then, the variance is replaced by semivariance and skewness is taken into account in order to generate asymmetry of return distributions to overcome the inadequacy of the standard mean-variance model. Finally, fuzzy variables are used to express the uncertain and imprecise elements in the decision-making process. The results of the simulation show that the model can be solved more reasonably and effectively by BFO-SDC than the original bacterial foraging optimization.
Subject
  • Perception
  • Decision-making
  • Moment (mathematics)
  • Taxes (biology)
  • Transmembrane receptors
  • Statistical deviation and dispersion
  • Motile cells
  • Portfolio theories
part of
is abstract of
is hasSource of
Faceted Search & Find service v1.13.91 as of Mar 24 2020


Alternative Linked Data Documents: Sponger | ODE     Content Formats:       RDF       ODATA       Microdata      About   
This material is Open Knowledge   W3C Semantic Web Technology [RDF Data]
OpenLink Virtuoso version 07.20.3229 as of Jul 10 2020, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (94 GB total memory)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software