The K-T Conditions for Portfolio Selection Problem in Fuzzy Decision System

被引：4

作者：

Liu, Ying ^{[1
]}

Hao, Fang-Fang ^{[1
]}

机构：

[1] Hebei Univ, Coll Math & Comp Sci, Baoding 071002, Hebei, Peoples R China

来源：

PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-6 | 2009年

关键词：

Fuzzy variable; portfolio selection; expected value; variance; K-T conditions; PROGRAMMING APPROACH; OPTIMIZATION; MODEL; INSURANCE; RISK;

D O I：

10.1109/ICMLC.2009.5212386

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：860 / 865

页数：6

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