Bifuzzy Chance-constrained Portfolio Selection

被引：0
|
作者：
Yan Li-mei [1 ]
机构：
[1] Dezhou Univ, Dept Math, Dezhou 253023, Shandong, Peoples R China
来源：
FIRST IITA INTERNATIONAL JOINT CONFERENCE ON ARTIFICIAL INTELLIGENCE, PROCEEDINGS | 2009年
关键词：
portfolio selection; Bifuzzy variable; Bifuzzy simulation; genetic algorithm;
D O I：
10.1109/JCAI.2009.133
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 solve the portfolio problem when security returns are bifuzzy variables. Two types of portfolio selections based on chance measure are provided according to bifuzzy theory. Since the proposed optimization problems are difficult to solve by traditional methods, A hybrid intelligent algorithm by integrating bifuzzy simulation and genetic algorithm is designed. Finally, one numerical experiment is provided to illustrate the effectiveness of the algorithm.
引用
收藏
页码：506 / 509
页数：4
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