期刊名称：IAENG International Journal of Computer Science
印刷版ISSN：1819-656X
电子版ISSN：1819-9224
出版年度：2020
卷号：47
期号：4
语种：English
出版社：IAENG - International Association of Engineers
摘要：This paper explores a problem whether a portfolio should contain a riskless asset in fuzzy environment based on credibility theory. From a novel perspective, we use the fuzzy deviation together with value function (value-deviation) as a novel portfolio risk measurement. In the light of credibility theory in this paper, three credibilistic expected value-deviation models with fuzzy returns are proposed for the first time. In addition, genetic algorithm is adopted to solve our presented fuzzy nonlinear portfolio models. Furthermore, a comparative numerical example with or without a riskless asset is given to verify the validity of our presented portfolio models. The final results present that no matter how much return investors want to realize, the maximum value deviation of portfolio with a riskless asset is more than the maximum value deviation of portfolio without a riskless asset forever. That enriches portfolio contents in theory and provides investors with more choices in practice.
关键词：Credibility theory;Deviation;Portfolio selection;Riskless asset;Value function
