A Portfolio Selection Problem with Fuzzy Return Rate

被引：0

作者：

Xu, Ruo-ning ^{[1
]}

Zhai, Xiao-yan ^{[2
]}

机构：

[1] Guangzhou Univ, Sch Math & Informat Sci, Guangzhou 510006, Guangdong, Peoples R China

[2] Guangzhou Univ Foreign Studies, Sch Management, Guangzhou 510420, Guangdong, Peoples R China

来源：

FUZZY INFORMATION AND ENGINEERING, VOL 1 | 2009年 / 54卷

关键词：

Portfolio selection; Convex quadratic programming; Fuzzy number; POSSIBILITY DISTRIBUTIONS;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

The aim of this paper is to develop a portfolio selection model with fuzzy return rate. Fuzzy number is used to model the anticipative return rate of security, and an index is defined to measure the variability of the portfolio return. By taking the possibilistic mean as the portfolio return and the variability as the portfolio risk, a portfolio selection model is constructed. It is shown that there exists an optimal solution in the model, and the solution can be obtained by solving a convex quadratic programming problem.

引用

页码：520 / +

页数：2

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