A mean-semivariance model for stock portfolio selection in fuzzy random environment

Author

Zhang, Zhe ; Xu, Jiuping

Author_Institution

Sch. of Bus. & Adm., Sichuan Univ., Chengdu, China

fYear

2008

fDate

8-11 Dec. 2008

Firstpage

984

Lastpage

988

Abstract

This paper discusses stock portfolio selection problem in fuzzy random environment. In the paper, the returns of each security are assumed to be fuzzy random variables, then following the ideas of mean-semivariance model in a fuzzy random environment is proposed. Based on the concept of semivariance of fuzzy random variable, a mean-semivariance model in is proposed. To solve the new model in general cases, a fuzzy random simulation based genetic algorithm is presented in the paper. In addition, a numerical example is presented to illustrate the proposed stock portfolio selection model and the effectiveness of the designed algorithm.

Keywords

fuzzy set theory; genetic algorithms; investment; random processes; stock markets; fuzzy random environment; genetic algorithm; mean-semivariance model; stock portfolio selection; Decision making; Finance; Fuzzy set theory; Genetic algorithms; Optimization methods; Portfolios; Random variables; Security; Stochastic processes; Uncertainty; Stock portfolio selection; fuzzy random variable; mean-semivariance model;

fLanguage

English

Publisher

ieee

Conference_Titel

Industrial Engineering and Engineering Management, 2008. IEEM 2008. IEEE International Conference on

Conference_Location

Singapore

Print_ISBN

978-1-4244-2629-4

Electronic_ISBN

978-1-4244-2630-0

Type

conf

DOI

10.1109/IEEM.2008.4738017

Filename

4738017