Portfolio selection with fuzzy returns

Article type: Research Article

Authors: Huang, Xiaoxia

Affiliations: School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China. Tel.: +86 10 62332763; Fax: +86 10 62333582; E-mail: hxiaoxia@manage.ustb.edu.cn

Abstract: This paper discusses portfolio selection problem in fuzzy environment. In the paper, security returns are regarded as fuzzy variables. Based on credibility measure and the expected value operator and variance operator based on credibility, two new types of fuzzy mean-variance models are proposed. A hybrid intelligent algorithm is provided to give a general solution of the optimization problems. Numerical examples are also presented to illustrate the optimization idea and the effectiveness of the proposed algorithm.

Keywords: Portfolio selection, fuzzy set, mean-variance model, fuzzy programming

Journal: Journal of Intelligent & Fuzzy Systems, vol. 18, no. 4, pp. 383-390, 2007