Credibility mean-variance-skewness portfolio selection model

被引：0
|
作者：
Chen, Guohua [1 ]
Liao, Xiaolian [1 ]
机构：
[1] Hunan Inst Humanities Sci & Technol, Dept Math, Loudi 417000, Peoples R China
来源：
2010 2ND INTERNATIONAL WORKSHOP ON DATABASE TECHNOLOGY AND APPLICATIONS PROCEEDINGS (DBTA) | 2010年
关键词：
Credibility mean-variance-skewness portfolio selection model; Credibility measure; Genetic algorithm; Penalty function;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Credibility mean-variance-skewness model for optimal portfolio selection is formulated based on the credibility theory, and the crisp equivalents are given by chance programming approach, when parameters are characterized by trapezoidal fuzzy variables. Furthermore, a genetic algorithm is designed for solving the crisp equivalents.
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页数：4
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