Title :
Fuzzy Random Portfolio Selection Problem
Author :
Hao, Fang-Fang ; Liu, Hao Yan-Kui
Abstract :
In this paper, we discuss a portfolio selection problem in a fuzzy random decision system. A new type of portfolio selection model is proposed based on fuzzy random theory. To solve the proposed model, we first present the variance formulas of triangular fuzzy random variables, then design a genetic algorithm. Finally, we provide a numerical ex- periment to illustrate the feasibility and effectiveness of the proposed algorithm.
Keywords :
Algorithm design and analysis; Fuzzy systems; Genetic algorithms; Information security; Investments; Mathematics; Portfolios; Random variables; Stochastic processes; Uncertainty;
Conference_Titel :
Computational Intelligence and Security, 2007 International Conference on
Conference_Location :
Harbin
Print_ISBN :
0-7695-3072-9
Electronic_ISBN :
978-0-7695-3072-7
DOI :
10.1109/CIS.2007.101
