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文章基本信息

  • 标题:Fuzzy Data Decision Support in Portfolio Selection: a Possibilistic Safety-first Model
  • 本地全文:下载
  • 作者:Guohua Chen
  • 期刊名称:Computer and Information Science
  • 印刷版ISSN:1913-8989
  • 电子版ISSN:1913-8997
  • 出版年度:2010
  • 卷号:3
  • 期号:4
  • 页码:116
  • DOI:10.5539/cis.v3n4p116
  • 出版社:Canadian Center of Science and Education
  • 摘要:

    Vast pools of historical financial information are available on economies, industry, and individual companies that affect investors’ selection of appropriate portfolios. Fuzzy data provides a good tool to reflect investors’ opinions based on this information. A possibilistic mean variance safety-first portfolio selection model is developed to support investors’ decision making, to take into consideration this fuzzy information. The possibilistic-programming problem can be transformed into a linear optimal problem with an additional quadratic constraint using possibilistic theory. We propose a cutting plane algorithm to solve the programming problem. A numerical example is given to illustrate our approach.

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