Fuzzy portfolio selection using genetic algorithm
โ Scribed by Rahib H. Abiyev; Mustafa Menekay
- Book ID
- 106169072
- Publisher
- Springer
- Year
- 2007
- Tongue
- English
- Weight
- 279 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1432-7643
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In stochastic environment, variance, semivariance and probability of a bad outcome are three popular definitions of risk for portfolio selection. In fuzzy environment, variance is carried on as the definition of risk. However, in real life, risk is understood in many different ways. In this paper we
This paper discusses portfolio selection problem in fuzzy environment. In the paper, semivariance is originally presented for fuzzy variable, and three properties of the semivariance are proven. Based on the concept of semivariance of fuzzy variable, two fuzzy mean-semivariance models are proposed.
## a b s t r a c t In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as