DocumentCode
2564663
Title
Fuzzy Random Portfolio Selection Problem
Author
Hao, Fang-Fang ; Liu, Hao Yan-Kui
fYear
2007
fDate
15-19 Dec. 2007
Firstpage
515
Lastpage
519
Abstract
In this paper, we discuss a portfolio selection problem in a fuzzy random decision system. A new type of portfolio selection model is proposed based on fuzzy random theory. To solve the proposed model, we first present the variance formulas of triangular fuzzy random variables, then design a genetic algorithm. Finally, we provide a numerical ex- periment to illustrate the feasibility and effectiveness of the proposed algorithm.
Keywords
Algorithm design and analysis; Fuzzy systems; Genetic algorithms; Information security; Investments; Mathematics; Portfolios; Random variables; Stochastic processes; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence and Security, 2007 International Conference on
Conference_Location
Harbin
Print_ISBN
0-7695-3072-9
Electronic_ISBN
978-0-7695-3072-7
Type
conf
DOI
10.1109/CIS.2007.101
Filename
4415397
Link To Document