Multi-objective Programming Model for Asset Portfolio Selection

摘要：

This paper presents a multi-objective programming model for the asset portfolio selection problem. Use the idea of fuzzy sets to set up the membership function of the objective function for providing the satisfaction degree to the return and risk of the portfolio.Then the approach is used to achieve the hightest degree of each of the membership functions and abtain the satisfactory solution for the decision maker.Numerical examples are given to demonstrate the proposed approach.

关键词： portfolio selection problem fuzyr set MulA-objectiveprogrumming semi-absolute deviation

作者: Tang Wenguang Zhao Fenxia

作者单位: College of Science .Tianjin University of Commerce TJUC Tianjin, 300134. China College of Science .Tianjin University of Commerce TJUC Tianjin, 300134, China

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 455-457

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）