Title :
The K-T conditions for portfolio selection problem in fuzzy decision system
Author :
Liu, Ying ; Hao, Fang-Fang
Author_Institution :
Coll. of Math. & Comput. Sci., Hebei Univ., Baoding, China
Abstract :
This paper introduces a type of mean-variance model for portfolio selection problem, in which the security returns are assumed to be fuzzy variables. To solve the portfolio problem, this paper applies the variance formulas to the proposed model so that the original optimization problem can be reduced to the deterministic one, which can be solved by applying Kuhn-Tucker (K-T) conditions. A numerical example is presented to demonstrate the proposed method.
Keywords :
fuzzy set theory; investment; Kuhn-Tucker condition; fuzzy decision system; mean-variance model; portfolio selection problem; Cybernetics; Fuzzy systems; Machine learning; Portfolios; Fuzzy variable; K-T conditions; expected value; portfolio selection; variance;
Conference_Titel :
Machine Learning and Cybernetics, 2009 International Conference on
Conference_Location :
Baoding
Print_ISBN :
978-1-4244-3702-3
Electronic_ISBN :
978-1-4244-3703-0
DOI :
10.1109/ICMLC.2009.5212386
