Research on intelligent algorithm for portfolio selection with credibility criterion

The problems of portfolio selection based on credibility theory are investigated and the portfolio selection models with credibility criterion are established. They are to maximize the possibility (necessity or credibility) that the return rate of portfolio is no less than a given expected rate. Since the criterion functions are not calculated by analytic formulation and the models cannot be converted to their crisp equivalents, they are no longer solved by the traditional methods. In this paper, a method for solving the problems is proposed when fuzzy simulation is integrated with genetic algorithm. Illustrate examples are given and the effectiveness of the proposed intelligent algorithm is shown.