Mean-semivariance models for fuzzy portfolio selection

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摘要

This paper discusses portfolio selection problem in fuzzy environment. In the paper, semivariance is originally presented for fuzzy variable, and three properties of the semivariance are proven. Based on the concept of semivariance of fuzzy variable, two fuzzy mean-semivariance models are proposed. To solve the new models in general cases, a fuzzy simulation based genetic algorithm is presented in the paper. In addition, two numerical examples are also presented to illustrate the modelling idea and the effectiveness of the designed algorithm.

论文关键词:Fuzzy portfolio selection,Semivariance,Mean-semivariance model,Fuzzy programming,Optimization

论文评审过程:Received 20 January 2007, Revised 8 June 2007, Available online 13 June 2007.

论文官网地址:https://doi.org/10.1016/j.cam.2007.06.009