Mean-absolute Deviation Models for Portfolio Optimization Problem with Fuzzy Random Returns

被引：0
|
作者：
Qin, Zhongfeng [1 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
来源：
PROCEEDINGS OF THE NINTH INTERNATIONAL CONFERENCE ON INFORMATION AND MANAGEMENT SCIENCES | 2010年 / 9卷
关键词：
Uncertainty modelling; Portfolio optimization; Fuzzy random variables; Absolute deviation; RANDOM-VARIABLES; SELECTION;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Randomness and fuzziness simultaneously appears in a complex security market, which attracts more attentions in the literature. In this paper, we proposes the concept of absolute deviation of fuzzy random variables as a risk measure, and then we develops several novel types of mean-absolute deviation models for portfolio optimization problem, in which security returns are assumed to be fuzzy random variables with known possibility and probability distributions.
引用
收藏
页码：69 / 72
页数：4
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