• DocumentCode
    3453918
  • Title

    Credibility Mean-Variance-skewness Portfolio Selection Model

  • Author

    Chen, Guohua ; Liao, Xiaolian

  • Author_Institution
    Dept. of Math., Hunan Inst. of Humanities Sci. & Technol., Loudi, China
  • fYear
    2010
  • fDate
    27-28 Nov. 2010
  • Firstpage
    1
  • Lastpage
    4
  • Abstract
    Credibility mean-variance-skewness model for optimal portfolio selection is formulated based on the credibility theory, and the crisp equivalents are given by chance programming approach, when parameters are characterized by trapezoidal fuzzy variables. Furthermore, a genetic algorithm is designed for solving the crisp equivalents.
  • Keywords
    fuzzy set theory; genetic algorithms; investment; chance programming; credibility mean variance skewness model; credibility theory; genetic algorithm; optimal portfolio selection; trapezoidal fuzzy variables; Biological system modeling; Computational modeling; Linear programming; Mathematical model; Optimization; Portfolios; Programming;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Database Technology and Applications (DBTA), 2010 2nd International Workshop on
  • Conference_Location
    Wuhan
  • Print_ISBN
    978-1-4244-6975-8
  • Electronic_ISBN
    978-1-4244-6977-2
  • Type

    conf

  • DOI
    10.1109/DBTA.2010.5659059
  • Filename
    5659059
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3453918