Fuzzy Portfolio Selection Model with Safety Criterion Constraints
Chen Bao-l · Journal of China University of Geosciences(Social Sciences Edition) · 2012
Owing to the complexity of the security market,the credibility theory is employed to deal with the portfolio selection problem.The return rates of securities are characterized as fuzzy variables rather than random variables.The safety curve is defined,which reflects the subjective of the investor well.The portfolio selection model is proposed in fuzzy environment.A hybrid intelligent algorithm based on fuzzy simulation is designed to solve the new optimization problem.