Expected model for portfolio selection with random fuzzy returns

被引:11
作者
Huang, Xiaoxia [1 ]
机构
[1] Univ Sci & Technol Beijing, Sch Econ & Management, Beijing 100083, Peoples R China
关键词
portfolio selection; mean-variance model; random programming; fuzzy programming; random fuzzy programming;
D O I
10.1080/03081070601176422
中图分类号
TP301 [理论、方法];
学科分类号
081202 ;
摘要
This paper researches portfolio selection problem in combined uncertain environment of randomness and fuzziness. Due to the complexity of the security market, expected values of the security returns may not be predicted accurately. In the paper, expected returns of securities are assumed to be given by fuzzy variables. Security returns are regarded as random fuzzy variables, i.e. random returns with fuzzy expected values. Following Markowitz's idea of quantifying investment return by the expected value of the portfolio and risk by the variance, a new type of mean-variance model is proposed. In addition, a hybrid intelligent algorithm is provided to solve the new model problem. A numeral example is also presented to illustrate the optimization idea and the effectiveness of the proposed algorithm.
引用
收藏
页码:319 / 328
页数:10
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