A possibilistic mean variance portfolio selection model

被引：0
|
作者：
Chen, Guohua [1 ]
Chen, Shou [1 ]
Fang, Yong [1 ]
Wang, Shouyang [1 ]
机构：
[1] Hunan Inst Humanities Sci & Technol, Dept Math, Loudi 417000, Peoples R China
来源：
PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT | 2008年
关键词：
possibility theory; portfolio selection; possibilistic mean; possibilistic variance; cutting plane algorithm;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean variance portfolio selection model was proposed (FMV). The possibilistic programming problem can be transformed into a linear optimal problem with an additional quadratic constraint by possibilistic theory. For such problems there are no special standard algorithms. We propose a cutting plane algorithm to solve (FMVC). The nonlinear programming problem can be solved by sequence linear programming problem. A numerical example is given to illustrate the behavior of the proposed model and algorithm.
引用
收藏
页码：365 / 372
页数：8
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