Fuzzy Optimization of Securities Combination
Zhuang Xin · Journal of Northeastern University · 2001
On the basis of two securities selection, the fuzzy concept was applied to the portfolio composition selection. According to the hope, object and permitting difference given by investor, the membership was taken as object function. The models of the linear membership function and the non linear membership function were discussed. When the membership function takes value between [0,1], the solution of two models has no big difference and reflects,the satisfatory degree of the customer. The parameter of the non linear membership function corresponds to the fuzzy scale of the investor's profit rate and the risk. These values are smaller and the fuzzy scale is smaller compared with the linear membership function. It is well shown that the investor takes the value intention for the object value .For the data of ten stock profit rate in Shen Zhen stock market, the evolution programming is adopted to wage the optimization calculation and to verify the effectiveness of the model.