期刊
INTERNATIONAL JOURNAL OF GENERAL SYSTEMS
卷 37, 期 3, 页码 319-328出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/03081070601176422
关键词
portfolio selection; mean-variance model; random programming; fuzzy programming; random fuzzy programming
This paper researches portfolio selection problem in combined uncertain environment of randomness and fuzziness. Due to the complexity of the security market, expected values of the security returns may not be predicted accurately. In the paper, expected returns of securities are assumed to be given by fuzzy variables. Security returns are regarded as random fuzzy variables, i.e. random returns with fuzzy expected values. Following Markowitz's idea of quantifying investment return by the expected value of the portfolio and risk by the variance, a new type of mean-variance model is proposed. In addition, a hybrid intelligent algorithm is provided to solve the new model problem. A numeral example is also presented to illustrate the optimization idea and the effectiveness of the proposed algorithm.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据