Title :
Mean-CVaR Models for Fuzzy Portfolio Selection
Author :
Zhang, Xinli ; Sun, Wenyu
Author_Institution :
Sch. of Math. Sci., Nanjing Normal Univ., Nanjing, China
Abstract :
This paper discusses portfolio selection problem in fuzzy environment. In the paper, CVaR is originally presented for fuzzy variable. Based on the concept of CVaR of fuzzy variable, two fuzzy mean-CVaR models are proposed. To solve the new models in general cases, a fuzzy simulation based genetic algorithm is presented in the paper. In addition, by two numerical examples we compare mean-CVaR models with mean-semi variance model. Numerical solutions illustrate that the mean-CVaR model can control risk better than mean-semi variance model.
Keywords :
financial management; fuzzy set theory; genetic algorithms; risk management; fuzzy environment; fuzzy portfolio selection; fuzzy simulation; fuzzy variable; genetic algorithm; mean-CVaR model; mean-semivariance model; risk control; Argon; Biological cells; Gallium; Investments; Numerical models; Portfolios; Security; Conditional Value-at-Risk (CVaR); Fuzzy portfolio selection; Fuzzy programming; Mean-CVaR model; Mean-semivariance model;
Conference_Titel :
Intelligent System Design and Engineering Application (ISDEA), 2010 International Conference on
Conference_Location :
Changsha
Print_ISBN :
978-1-4244-8333-4
DOI :
10.1109/ISDEA.2010.37
