Mean-semivariance models for fuzzy portfolio selection

被引：157
|
作者：
Huang, Xiaoxia [1 ]
机构：
[1] Univ Sci & Technol Beijing, Sch Econ & Management, Beijing 100083, Peoples R China
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2008年 / 217卷 / 01期
关键词：
fuzzy portfolio selection; semivariance; mean-semivariance model; fuzzy programming; optimization;
D O I：
10.1016/j.cam.2007.06.009
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：1 / 8
页数：8
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