Minimax models for portfolio selection with fuzzy returns
This paper proposes two fuzzy minimax chance constrained portfolio selection models when each security return is known to belong to a certain class of fuzzy variables but the exact membership function cannot be given.The crisp equivalents of the proposed fuzzy models are given in two special cases when each security return belongs to either the class of normally distributed fuzzy variables or triangular fuzzy variables.In addition,a general solution algorithm is provided.To illustrate the effectiveness of the proposed algorithm,two numerical examples are also presented.
fuzzy portfolio selection minimax model chance constrained programming fuzzy programming optimization
Xiaoxia Huang
School of Economics and Management University of Science and Technology Beijing,Beijing 100083,China
国内会议
济南
英文
165-172
2009-05-15（万方平台首次上网日期，不代表论文的发表时间）