A Fuzzy Two-Stage Algorithm for Multi-Objective Portfolio Selection Model
Guohua Chen, Xiaolian Liao · Journal of Jishou University · 2006
Multi-objective portfolio selection model is studied.In this model,the risk is taken as the sum of the absolute deviation of the risk assets instead of covariance.It is a multi-objective linear optimal problem.Fuzzy two-stage algorithm is applied to solve it.The optimum solution of an example about this portfolio model is given with this new algorithm.