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Computers 2018, 7(4), 57; https://doi.org/10.3390/computers7040057

A Novel Framework for Portfolio Selection Model Using Modified ANFIS and Fuzzy Sets

Department of Computer Engineering, Jamia Millia Islamia, New Delhi 110025, India
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Received: 21 September 2018 / Revised: 17 October 2018 / Accepted: 26 October 2018 / Published: 31 October 2018
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Abstract

This paper proposes a novel framework for solving the portfolio selection problem. This framework is excogitated using two newly parameters obtained from an existing basic mean variance model. The scheme can prove entirely advantageous for decision-making while using computed values of these significant parameters. The framework combines effectiveness of the mean-variance model and another significant parameter called Conditional-Value-at-Risk (CVaR). It focuses on extracting two newly parameters viz. αnew and βnew, which are demarcated from results obtained from mean-variance model and the value of CVaR. The method intends to minimize the overall cost, which is computed in the framework using quadratic equations involving these newly parameters. The new structure of ANFIS is designed by changing existing structure of ANFIS and this new structure contains six layers instead of existing five-layered structure. Fuzzy sets are harnessed for the design of the second layer of this new ANFIS structure. The output parameter acquired from the sixth layer of the new ANFIS structure serves as an important index for an investor in the decision-making. The numerical results acquired from the framework and the new six-layered structure is presented and these results are assimilated and compared with the results of the existing ANFIS structure. View Full-Text
Keywords: portfolio selection; conditional-value-at-risk; Lagrangian multiplier; adaptive neuro fuzzy inference system; cuckoo intelligence algorithm portfolio selection; conditional-value-at-risk; Lagrangian multiplier; adaptive neuro fuzzy inference system; cuckoo intelligence algorithm
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Kumar, C.; Doja, M.N. A Novel Framework for Portfolio Selection Model Using Modified ANFIS and Fuzzy Sets. Computers 2018, 7, 57.

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