Credibility programming approach to fuzzy portfolio selection problems

This paper deals with the portfolio selection problems in fuzzy environments by credibility programming approach based on credibility measure. Three types of fuzzy programming models are provided for portfolio selection with fuzzy return rates. A hybrid intelligent algorithm is designed to solve the...

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Bibliographic Details
Main Authors: Jin Peng, Mok, Wai-Man Tse
Format: Conference Proceeding
Language:English
Subjects:
Asset management
Costs
Credibility Measure
Data security
Environmental management
Fuzzy Programming
Hybrid Intelligent Algorithm
Investments
Mathematical programming
Mathematics
Portfolio Selection
Portfolios
Probability distribution
Weight measurement
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Description
Summary:This paper deals with the portfolio selection problems in fuzzy environments by credibility programming approach based on credibility measure. Three types of fuzzy programming models are provided for portfolio selection with fuzzy return rates. A hybrid intelligent algorithm is designed to solve the proposed models and its effectiveness is illustrated by numerical experiments.
ISSN:2160-133X
DOI:10.1109/ICMLC.2005.1527368