Intelligent Method for Solving Optimal Strategy of Dynamic Portfolio Selection with Credibility Criterion

The problem of dynamic portfolio selection with credibility criterion is investigated. The criterion function is the sum of credibility that the return rate of portfolio at the end of each period is not lower than a given one. Since the criterion function can not be calculated by analytic formulation and the model can not be converted to it crisp equivalent, the traditional methods for solving them are no longer valid. The purpose of this paper, therefore, focuses on designing a new method for the problem of dynamic portfolio selection with credibility criterion. The fuzzy simulation based genetic algorithm and artificial neural network are embedded within dynamic programming, and the intelligent method for solving the optimal problem is given. An illustrative example shows that this intelligent method is efficient