Title :
Portfolio selection in fuzzy environment
Author :
Chen, Yan-ju ; Liu, Yan-Kui
Author_Institution :
Coll. of Math. & Comput. Sci., Hebei Univ., Baoding, China
Abstract :
In this paper, we first deduce the variance formulas of three common types of fuzzy variables. Then fuzzy portfolio selection models are built based on credibility measure, the expected value and variance of a fuzzy variable. To solve the proposed models, a genetic algorithm is employed. At last, this paper provides two numerical examples for the proposed portfolio selection models.
Keywords :
fuzzy set theory; genetic algorithms; credibility measure; fuzzy portfolio selection model; fuzzy variable variance; genetic algorithm; Computer science; Decision making; Educational institutions; Genetic algorithms; Investments; Mathematics; Portfolios; Possibility theory; Random variables; Stochastic processes; Credibility; expected value; genetic algorithm; portfolio selection; variance;
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.2005.1527400
