Model for portfolio selection with fuzzy return rates

被引：0
|
作者：
Chen, Guo-Hua [1 ,3 ]
Chen, Shou [1 ]
Fang, Yong [2 ]
Wang, Shou-Yang [1 ,2 ]
机构：
[1] School of Business Administration, Hunan University, Changsha 410082, China
[2] Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
[3] Department of Mathematics, Hunan Institute of Humanities Science and Technology, Loudi 417000, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2009年 / 29卷 / 07期
关键词：
Fuzzy systems - Fuzzy logic - Linear programming - Fuzzy set theory;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper deals with a portfolio selection problem with fuzzy expected return rates. An efficient way is given to transform a traditional optimization problem with variance constraints into a fuzzy linear programming problem. Based on fuzzy mathematics methods, the fuzzy linear programming problem is converted into a multi-objective parameter linear programming problem. A fuzzy two-stage algorithm is proposed to solve it. Finally, a numerical example is given to illustrate the behavior of the proposed model.
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页码：8 / 15
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