Fuzzy chance-constrained portfolio selection

This paper selects the portfolio with fuzzy returns by criteria of chance represented by credibility measure. In the paper, two types of credibility-based portfolio selection model are provided according to two types of chance criteria. By one chance criterion, the objective is to maximize the inves...

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Vydáno v:	Applied mathematics and computation Ročník 177; číslo 2; s. 500 - 507
Hlavní autor:	Huang, Xiaoxia
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York, NY Elsevier Inc 15.06.2006 Elsevier
Témata:	Algorithmics. Computability. Computer arithmetics Applied sciences Computer science; control theory; systems Exact sciences and technology Fuzzy chance-constrained programming Fuzzy portfolio selection Genetic algorithm Mathematical programming Operational research and scientific management Operational research. Management science Portfolio theory Theoretical computing Fuzzy chance-constrained programming Genetic algorithm Fuzzy portfolio selection Membership function Portfolio selection Algorithm performance Applied mathematics Model selection Selection method Hybrid model Fuzzy programming
ISSN:	0096-3003, 1873-5649
On-line přístup:	Získat plný text
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