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Mean-semivariance models for fuzzy portfolio selection

✍ Scribed by Xiaoxia Huang

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
158 KB
Volume
217
Category
Article
ISSN
0377-0427

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✦ Synopsis

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. To solve the new models in general cases, a fuzzy simulation based genetic algorithm is presented in the paper. In addition, two numerical examples are also presented to illustrate the modelling idea and the effectiveness of the designed algorithm.

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