About: In this paper, a new kind of bacterial foraging optimization that combines with levy flight (LBFO) is employed to solve a novel portfolio optimization (PO) problem with fuzzy variables and modified mean-semivariance model which includes the transaction fee (including the purchase fee and sell fee), no short sales and the original proportion of the different assets. First of all, a chemotaxis step size using levy distribution takes the place of fixed chemotaxis step size, which makes a good balance between local search and global search through frequent short-distance search and occasional long-distance search. Moreover, fuzzy variables are used to signify the uncertainty of future risks and returns on assets and some constrained conditions are taken into consideration. The results of the simulation show that the model can be solved more reasonably and effectively by LBFO algorithm than the original bacterial foraging optimization (BFO).

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: In this paper, a new kind of bacterial foraging optimization that combines with levy flight (LBFO) is employed to solve a novel portfolio optimization (PO) problem with fuzzy variables and modified mean-semivariance model which includes the transaction fee (including the purchase fee and sell fee), no short sales and the original proportion of the different assets. First of all, a chemotaxis step size using levy distribution takes the place of fixed chemotaxis step size, which makes a good balance between local search and global search through frequent short-distance search and occasional long-distance search. Moreover, fuzzy variables are used to signify the uncertainty of future risks and returns on assets and some constrained conditions are taken into consideration. The results of the simulation show that the model can be solved more reasonably and effectively by LBFO algorithm than the original bacterial foraging optimization (BFO). Goto Sponge NotDistinct Permalink

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

Attributes	Values
type	abstract
value	In this paper, a new kind of bacterial foraging optimization that combines with levy flight (LBFO) is employed to solve a novel portfolio optimization (PO) problem with fuzzy variables and modified mean-semivariance model which includes the transaction fee (including the purchase fee and sell fee), no short sales and the original proportion of the different assets. First of all, a chemotaxis step size using levy distribution takes the place of fixed chemotaxis step size, which makes a good balance between local search and global search through frequent short-distance search and occasional long-distance search. Moreover, fuzzy variables are used to signify the uncertainty of future risks and returns on assets and some constrained conditions are taken into consideration. The results of the simulation show that the model can be solved more reasonably and effectively by LBFO algorithm than the original bacterial foraging optimization (BFO).
subject	Perception Moment (mathematics) Optimization algorithms and methods Taxes (biology) Transmembrane receptors »more»
part of	Bacterial Foraging Optimization Based on Levy Flight for Fuzzy Portfolio Optimization
is abstract of	Bacterial Foraging Optimization Based on Levy Flight for Fuzzy Portfolio Optimization
is hasSource of	covid:ann/target/4b6af6058ac0d19a5f97addddc3281b2fbd52c33 covid:ann/target/ab5bdbbbbe7b9c21c8b3c6810b4ec923f2bb25c6 covid:ann/target/639e549753140cca254affcfbea36f6da031fe0b covid:ann/target/967ee85ef572d47d89abb95e5043b544546b2650 covid:ann/target/4fa39d3cc10794921a07752115506f9ee7c41c93 »more»

Faceted Search & Find service v1.13.91 as of Mar 24 2020

Alternative Linked Data Documents: Sponger | ODE Content Formats:

RDF

ODATA

Microdata

About

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 © 2009-2025 OpenLink Software