A cutting plane algorithm for MV portfolio selection model

被引：9

作者：

Chen, Guohua ^{[1
]}

Liao, Xiaolian ^{[1
]}

Wang, Shouyang ^{[2
]}

机构：

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

[2] Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2009年 / 215卷 / 04期

关键词：

Possibility theory; Portfolio selection; Cutting plane algorithm; VARIANCE;

D O I：

10.1016/j.amc.2009.06.040

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean variance (FMVC) portfolio selection model was proposed. 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. (C) 2009 Elsevier Inc. All rights reserved.

引用

页码：1456 / 1462

页数：7

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