Title :
Bifuzzy Chance-constrained Portfolio Selection
Author_Institution :
Dept. of Math., Dezhou Univ., Dezhou, China
Abstract :
The aim of this paper is to solve the portfolio problem when security returns are bifuzzy variables. Two types of portfolio selections based on chance measure are provided according to bifuzzy theory. Since the proposed optimization problems are difficult to solve by traditional methods, A hybrid intelligent algorithm by integrating bifuzzy simulation and genetic algorithm is designed. Finally, one numerical experiment is provided to illustrate the effectiveness of the algorithm.
Keywords :
fuzzy set theory; genetic algorithms; investment; bifuzzy simulation; bifuzzy theory; bifuzzy variable; chance-constrained portfolio selection; genetic algorithm; hybrid intelligent algorithm; investment; optimization; security return; Algorithm design and analysis; Artificial intelligence; Genetic algorithms; Information security; Investments; Mathematical model; Mathematics; Portfolios; Stochastic processes; Uncertainty; Bifuzzy simulation; Bifuzzy variable; genetic algorithm; portfolio selection;
Conference_Titel :
Artificial Intelligence, 2009. JCAI '09. International Joint Conference on
Conference_Location :
Hainan Island
Print_ISBN :
978-0-7695-3615-6
DOI :
10.1109/JCAI.2009.133
