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Two new models for portfolio selection with stochastic returns taking fuzzy information

Authors
Journal
European Journal of Operational Research
0377-2217
Publisher
Elsevier
Publication Date
Volume
180
Issue
1
Identifiers
DOI: 10.1016/j.ejor.2006.04.010
Keywords
  • Random Optimization
  • Fuzzy Optimization
  • Simulation
  • Portfolio Selection
  • Genetic Algorithm
Disciplines
  • Computer Science
  • Design
  • Mathematics

Abstract

Abstract This paper proposes two new models for portfolio selection in which the security returns are stochastic variables with fuzzy information. A hybrid intelligent algorithm is designed to solve the optimization problem which is otherwise hard to solve with the existing algorithms due to the complexity of the return variables. To illustrate the modelling idea and to show the effectiveness of the proposed approach, two numerical examples are provided.

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