Title :
Credibility programming approach to fuzzy portfolio selection problems
Author :
Peng, Jin ; Mok, Henry M K ; Tse, Wai-Man
Author_Institution :
Dept. of Math., Huanggang Normal Univ., Hubei, China
Abstract :
This paper deals with the portfolio selection problems in fuzzy environments by credibility programming approach based on credibility measure. Three types of fuzzy programming models are provided for portfolio selection with fuzzy return rates. A hybrid intelligent algorithm is designed to solve the proposed models and its effectiveness is illustrated by numerical experiments.
Keywords :
financial management; fuzzy logic; fuzzy set theory; mathematical programming; credibility programming approach; fuzzy portfolio selection problem; fuzzy programming model; hybrid intelligent algorithm; Asset management; Costs; Data security; Environmental management; Investments; Mathematical programming; Mathematics; Portfolios; Probability distribution; Weight measurement; Credibility Measure; Fuzzy Programming; Hybrid Intelligent Algorithm; Portfolio Selection;
Conference_Titel :
Machine Learning and Cybernetics, 2005. Proceedings of 2005 International Conference on
Conference_Location :
Guangzhou, China
Print_ISBN :
0-7803-9091-1
DOI :
10.1109/ICMLC.2005.1527368
