A Portfolio Selection Problem with Fuzzy Return Rate

被引：0
|
作者：
Xu, Ruo-ning [1 ]
Zhai, Xiao-yan [2 ]
机构：
[1] Guangzhou Univ, Sch Math & Informat Sci, Guangzhou 510006, Guangdong, Peoples R China
[2] Guangzhou Univ Foreign Studies, Sch Management, Guangzhou 510420, Guangdong, Peoples R China
来源：
FUZZY INFORMATION AND ENGINEERING, VOL 1 | 2009年 / 54卷
关键词：
Portfolio selection; Convex quadratic programming; Fuzzy number; POSSIBILITY DISTRIBUTIONS;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
The aim of this paper is to develop a portfolio selection model with fuzzy return rate. Fuzzy number is used to model the anticipative return rate of security, and an index is defined to measure the variability of the portfolio return. By taking the possibilistic mean as the portfolio return and the variability as the portfolio risk, a portfolio selection model is constructed. It is shown that there exists an optimal solution in the model, and the solution can be obtained by solving a convex quadratic programming problem.
引用
收藏
页码：520 / +
页数：2
相关论文
共 50 条
  • [21] Exact and heuristic procedures for solving the fuzzy portfolio selection problem
    Cadenas, J. M.
    Carrillo, J. V.
    Garrido, M. C.
    Ivorra, C.
    Liern, V.
    FUZZY OPTIMIZATION AND DECISION MAKING, 2012, 11 (01) : 29 - 46
  • [22] Fuzzy Portfolio Selection Problem under Uncertain Exit time
    Chen, Wei
    Tan, Shaohua
    2009 IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS, VOLS 1-3, 2009, : 550 - 554
  • [23] A stochastic soft constraints fuzzy model for a portfolio selection problem
    Lacagnina, V
    Pecorella, A
    FUZZY SETS AND SYSTEMS, 2006, 157 (10) : 1317 - 1327
  • [24] Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates
    Huang, Yin-Yin
    Chen, I-Fei
    Chiu, Chien-Liang
    Tsaur, Ruey-Chyn
    MATHEMATICS, 2021, 9 (23)
  • [25] Portfolio selection problem
    Senhaji, Kaoutar
    El Moutaouakil, Karim
    Ettaouil, Mohamed
    PROCEEDINGS OF THE 3RD IEEE INTERNATIONAL CONFERENCE ON LOGISTICS OPERATIONS MANAGEMENT (GOL'16), 2016,
  • [26] Multiobjective particle swarm optimization for a novel fuzzy portfolio selection problem
    Wang, Bo
    Watada, Junzo
    IEEJ TRANSACTIONS ON ELECTRICAL AND ELECTRONIC ENGINEERING, 2013, 8 (02) : 146 - 154
  • [27] A Parametric Sharpe Ratio Optimization Approach for Fuzzy Portfolio Selection Problem
    Liu, Ying
    Li, Ya-Nan
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2017, 2017
  • [28] A fuzzy stochastic goal programming approach for solving portfolio selection problem
    Messaoudi, Laila
    Rebai, Abdelwaheb
    2013 5TH INTERNATIONAL CONFERENCE ON MODELING, SIMULATION AND APPLIED OPTIMIZATION (ICMSAO), 2013,
  • [29] Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs
    Chen, Yanju
    Wang, Ye
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2015, 2015
  • [30] On fuzzy portfolio selection problems
    Wang S.
    Zhu S.
    Fuzzy Optimization and Decision Making, 2002, 1 (04) : 361 - 377
12345