Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 217, Issue 1, Pages 1-8Publisher
ELSEVIER
DOI: 10.1016/j.cam.2007.06.009
Keywords
fuzzy portfolio selection; semivariance; mean-semivariance model; fuzzy programming; optimization
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This paper discusses portfolio selection problem in fuzzy environment. In the paper, semivariance is originally presented for fuzzy variable, and three properties of the semivariance are proven. Based on the concept of semivariance of fuzzy variable, two fuzzy mean-semivariance models are proposed. To solve the new models in general cases, a fuzzy simulation based genetic algorithm is presented in the paper. In addition, two numerical examples are also presented to illustrate the modelling idea and the effectiveness of the designed algorithm. (c) 2007 Elsevier B.V. All rights reserved.
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