mean-variance-skewness fuzzy portfolio selection model based on intuitionistic fuzzy optimization

被引：6

作者：

Chen, Guohua ^{[1
]}

Luo, Zhijun ^{[1
]}

Liao, Xiaolian ^{[1
]}

Yu, Xing ^{[1
]}

Yang, Lian ^{[1
]}

机构：

[1] Hunan Inst Humanities Sci & Technol, Dept Math, Loudi 417000, Peoples R China

来源：

CEIS 2011 | 2011年 / 15卷

关键词：

Mean-variance-skewness model; Fuzzy portfolio selection; Matlab software; Intuitionistic fuzzy optimization;

D O I：

10.1016/j.proeng.2011.08.385

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

mean-variance-skewness model for optimal portfolio selection in intuitionistic fuzzy environment is proposed, Firstly, membership and non-membership functions of object and constrain functions were defined. Secondly, intuitionistic fuzzy programming model was presented based on intuitionistic fuzzy "min-max" operator. Then, intuitionistic fuzzy programming was resolved by Matlab software. (C) 2011 Published by Elsevier Ltd. Selection and/or peer-review under responsibility of [CEIS 2011]

引用

页数：5

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