Title :
A mean-semivariance model for stock portfolio selection in fuzzy random environment
Author :
Zhang, Zhe ; Xu, Jiuping
Author_Institution :
Sch. of Bus. & Adm., Sichuan Univ., Chengdu, China
Abstract :
This paper discusses stock portfolio selection problem in fuzzy random environment. In the paper, the returns of each security are assumed to be fuzzy random variables, then following the ideas of mean-semivariance model in a fuzzy random environment is proposed. Based on the concept of semivariance of fuzzy random variable, a mean-semivariance model in is proposed. To solve the new model in general cases, a fuzzy random simulation based genetic algorithm is presented in the paper. In addition, a numerical example is presented to illustrate the proposed stock portfolio selection model and the effectiveness of the designed algorithm.
Keywords :
fuzzy set theory; genetic algorithms; investment; random processes; stock markets; fuzzy random environment; genetic algorithm; mean-semivariance model; stock portfolio selection; Decision making; Finance; Fuzzy set theory; Genetic algorithms; Optimization methods; Portfolios; Random variables; Security; Stochastic processes; Uncertainty; Stock portfolio selection; fuzzy random variable; mean-semivariance model;
Conference_Titel :
Industrial Engineering and Engineering Management, 2008. IEEM 2008. IEEE International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-1-4244-2629-4
Electronic_ISBN :
978-1-4244-2630-0
DOI :
10.1109/IEEM.2008.4738017
