• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Articles
  • Fuzzy Stochastic Price Scenario Based Portfolio Selection and its Application to BSE using Genetic Algorithm
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
May 14, 2026
Resource Race and Green Transition: Three Unexpected Conclusions from Foresight Centres Research on Climate and Poverty
Beneath the surface of green energy—which most people associate with solar panels, electric vehicles, and reduced CO2 emissions—lies a complex web of geopolitical interests, international inequality, and resource constraints. Researchers from the Laboratory for Science and Technology Studies (LST) at the HSE ISSEK Foresight Centre have published a series of articles in leading international journals on hidden and overt conflicts surrounding critically important metals and minerals, as well as related processes in the energy sector.
May 13, 2026
Immersion in Second Language Environment Influences Bilinguals Perception of Emotions
Researchers at the Cognitive Health and Intelligence Centre at the HSE Institute for Cognitive Neuroscience have discovered how bilingual individuals process emotional words in their native (first) and non-native (second) languages. It was found that the link between word meaning and bodily sensations is weaker in a second language than in a first language. However, the more a person is immersed in a language environment, the smaller this difference becomes. The article has been published in Language, Cognition and Neuroscience.
May 12, 2026
‘Any Real-Economy Company Can Use Our Products
The HSE Centre for Financial Research and Data Analytics combines fundamental and applied work, including in areas unique to Russia such as the connection between sentiment in the media and social networks and financial markets. The HSE News Service spoke with the centre’s director, Professor Tamara Teplova, about its work.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

Fuzzy Stochastic Price Scenario Based Portfolio Selection and its Application to BSE using Genetic Algorithm

Applied Soft Computing Journal. 2018. Vol. 62. P. 867 –891.
Dutta S.

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.

Language: English
Full text
DOI
Keywords: stochastic processGenetic algorithmFuzzy portfolio selectionFuzzy stochastic programmingTwo stage programmingMulti-objective programminghttps://www.sciencedirect.com/science/article/pii/S1568494617305574?casa_token=6UkgZlVY0dEAAAAA:6MViO1n9Xs_J5DlGjlYG6J80fXkAD9N1iMCC0IykNIgwKHF2nn9EW4E4png1zW493HmoXMVxeg
Similar publications
A genetic engineering algorithm for the generalized quadratic assignment problem
Sohrabi M., Fathollahi-Fard A., Vasilii A. Gromov et al., Neural Computing and Applications 2025 Vol. 37 No. 18 P. 12253–12279
The generalized quadratic assignment problem (GQAP) poses a significant challenge in optimization, known for its NP-hard complexity and wide-ranging applications in supply chain and manufacturing contexts. While various metaheuristic algorithms have addressed the GQAP, this paper introduces a novel modification of the genetic algorithm (GA), namely the genetic engineering algorithm (GEA). A traditional GA initializes ...
Added: April 2, 2025
Constructing efficient strategies for the process optimization by restart
Ilia Nikitin, Belan S., Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 2024 Vol. 109 No. 5 Article 054117
Optimization of the mean completion time of random processes by restart is a subject of active theoretical research in statistical physics and has long found practical application in computer science. Meanwhile, one of the key issues remains largely unsolved: how to construct a restart strategy for a process whose detailed statistics are unknown to ensure ...
Added: November 4, 2024
Evolving aerodynamic airfoils for wind turbines through a genetic algorithm
Hernandez J., Gomez E., Grageda J. et al., Journal of Physics: Conference Series 2017 Vol. 792 P. 1–5
Nowadays, genetic algorithms stand out for airfoil optimisation, due to the virtues of mutation and crossing-over techniques. In this work we propose a genetic algorithm with arithmetic crossover rules. The optimisation criteria are taken to be the maximisation of both aerodynamic efficiency and lift coefficient, while minimising drag coefficient. Such algorithm shows greatly improvements in ...
Added: January 20, 2023
Reliability and Maintainability Assessment of Industrial Systems
Springer, 2022.
Presents the latest research in the field of reliability engineering applications. Signposts areas for useful future research. A Useful reference to engineers, researchers and advanced students in reliability engineering ...
Added: December 16, 2022
Genetic algorithm approach for solving multi-objective fuzzy stochastic programming problem
Dutta S., International Journal of Mathematics in Operational Research 2017 Vol. 11 No. 1 P. 1–28
This paper is concerned with the solution procedure of a multi-objective fuzzy stochastic optimisation problem by simulation-based genetic algorithm. In this article, a multi-objective fuzzy chance constrained programming problem is considered with continuous fuzzy random variables. The uncertain parameters are considered as fuzzy normal and fuzzy log-normal random variables. The feasibilities of the fuzzy chance ...
Added: January 11, 2022
Genetic algorithm based fuzzy stochastic transportation programming problem with continuous random variables
Dutta S., OPSEARCH 2016 Vol. 53 No. 4 P. 835–872
This paper is concerned with the solution procedure of a multi-objective transportation problem with fuzzy stochastic simulation based genetic algorithm. Supplies and demands are considered as a fuzzy random variables with fuzzy means and fuzzy variances in proposed multi-objective fuzzy stochastic transportation problem. The first step in fuzzy simulation based genetic algorithm is to deal ...
Added: January 11, 2022
Fuzzy Stochastic Genetic Algorithm for Obtaining Optimum Crops Pattern and Water Balance in a Farm
Dutta S., Water Resources Management 2016 Vol. 30 No. 12 P. 4097–4123
This paper is concerned with multi-objective fuzzy stochastic model for determination of optimum cropping patterns with water balance for the next crop season. The objective functions of the model is to study the effect of various cropping patterns on crop production subject to total water supply in a small farm. The decision variables are the ...
Added: January 11, 2022
Fuzzy Programming Approach to a Multi-Objective Fuzzy Stochastic Routing and Siting Hazardous Wastes
Dutta S., Transportation Management 2020 Vol. 3 No. 1 P. 1–24
The aim of the research article is not only to propose a solution procedure to solve multi-objective fuzzy stochastic programming problem by using genetic-algorithm-based fuzzy programming method, but also to apply the computational techniques for transportation of the hazardous waste materials. In this article, routing and siting problems for nuclear hazardous waste material are studied and solved. ...
Added: January 11, 2022
On the Efficiency of Metaheuristic Optimization for Adaptive Image Steganography in the DFT Domain
Anna Melman, Oleg Evsutin, , in: 2021 XVII International Symposium "Problems of Redundancy in Information and Control Systems" (REDUNDANCY).: IEEE, 2021. P. 49–54.
Added: November 12, 2021
Aggregate Estimates for Probability of Social Engineering Attack Success: Sustainability of the Structure of Access Policies
Azarov A., Suvorova A., Koroleva M. et al., , in: International Symposium on Computer Science, Digital Economy and Intelligent Systems, CSDEIS 2019Vol. 1127: Advances in Intelligent Systems, Computer Science and Digital Economics.: Springer, 2020. P. 299–306.
Added: September 30, 2021
Economic Equilibrium with Random Transactions
Zhukova A., Pospelov I. G., , in: Proceedings - 2020 2nd International Conference on Control Systems, Mathematical Modeling, Automation and Energy Efficiency, SUMMA 2020.: IEEE, 2020. P. 284–289.
This paper presents the advances in modelling the system of agents under the conditions of random transactions between them. We face certain challenges in this project which we would like to highlight in this presentation. The agents in the modelled system are a large number of consumers, a large number of producers and the bank ...
Added: June 17, 2021
New possibilities of application of artificial intelligence methods for high-precision solution of boundary value problems
Yasnitsky L., Gladky S., Mathematics and Statistics 2020 Vol. 8 No. 3 P. 323–333
Abstract One of the main problems in modern mathematical modeling is to obtain high-precision solutions of boundary value problems. This study proposes a new approach that combines the methods of artificial intelligence and a classical analytical method. The use of the analytical method of fictitious canonic regions is proposed as the basis for obtaining reliable ...
Added: November 28, 2020
Symmetry in large-scale socio-economic systems and the implications for management
Rasskazov, S.V., Rasskazova, A.N., Koroleva, E.V., , in: 2019 Twelfth International Conference "Management of large-scale system development" (MLSD).: M.: IEEE, 2019. P. 1–5.
The paper provides a methodology for identifying and analyzing group-theoretical symmetry in socio-economic applications. Symmetry is disclosed in the tasks of estimating contingent claims, the main hypotheses of financial markets, time series of stock indexes, including pre-crisis periods, the distribution of urban population and the duration of historical periods. The connection of solutions based on ...
Added: January 23, 2020
Возможности и перспективы применения методов искусственного интеллекта для решения краевых задач математической физики в инженерной практике
Yasnitsky L., Гладкий С. Л., Нейрокомпьютеры: разработка, применение 2019 Т. 21 № 2 С. 16–31
The history of evolution of methods for solving boundary value problems of solid mechanics is traced, the comparative analysis of methods from the point of view of reliability of the obtained solutions is carried out. An attempt is made to develop the method of fictitious canonical domains by applying the technology of genetic algorithms. On ...
Added: November 15, 2019
О МЕТОДАХ ОЦЕНКИ МЕРЫ СОВМЕСТНОЙ МОНОТОННОСТИ ВРЕМЕННЫХ РЯДОВ
Bulychev A., Зайцев Р. Д., В кн.: Информатика, управление и системный анализ: Труды V Всероссийской научной конференции молодых ученых с международным участием.: Ростов н/Д: Ростовский государственный экономический университет "РИНХ", 2018. С. 328–335.
The paper discusses the special properties of two empirical correlation coefficients, reflecting the synchronicity (joint monotonicity) the dynamics of two time series. The obtained estimates can be used to study the properties of random processes and in machine learning problems. With the help of numerical modeling, the result is obtained: both correlation coefficients allow to ...
Added: September 3, 2019
РАЗРАБОТКА ГИБРИДНОЙ СИСТЕМЫ ПОДДЕРЖКИ ПРИНЯТИЯ РЕШЕНИЙ И ЕЕ ПРИМЕНЕНИЕ
Bukharov O., Bogolyubov D., Приборы и системы. Управление, контроль, диагностика 2018 № 1 С. 25–33
In this paper author suggests a new hybrid decision support system for operation with a class of semistructured tasks with underdetermined variables. Author defined the general tasks of prediction and estimation for a class of semistructured tasks. Use of interval neural networks and genetic algorithms for such tasks is justified. Author developed the algorithm to ...
Added: February 9, 2018
Случайные процессы: учебник и практикум для прикладного бакалавриата
Kashtanov V., Enatskaya N., Юрайт, 2017.
The textbook has passed practical tests and written on the basis of the readable authors for many years. Presented in textbook materials give students orientation in the solution of many practical problems in a number of areas, constitute the initial level to obtain a broader and deeper education in the field of probability theory. The ...
Added: December 17, 2017
Multiple Diffusion Models to Compare Saccadic and Manual Responses for Inhibition of Return
MacInnes W., Neural Computation 2017 No. 29(3) P. 804–824
Cuing a location in space produces a short-lived advantage in time. This early advantage, however, switches to a reaction time and has been termed inhibition of return (IOR). IOR behaves differently for different response modalities, suggesting that it may not be a unified effect. Ion with random, continuous cue-target Euclidean distance and cue-target onset asynchrony. ...
Added: September 20, 2016
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit