DocumentCode
3064227
Title
Fuzzy Portfolio Selection Based on Mean-CVaR Models
Author
Gao, Jianwei ; Zhang, Xunan ; Wang, Qingzhuang
Author_Institution
Sch. of Bus. Adm., North China Electr. Power Univ., Beijing, China
fYear
2011
fDate
29-31 July 2011
Firstpage
98
Lastpage
100
Abstract
This paper studies the portfolio selection problem under the fuzzy environment. First, we introduce the concept of CVaR of fuzzy variable, and then under this concept a fuzzy mean-CVaR model is proposed. In general it is impossible to find out the closed form solution, thus a hybrid intelligent algorithm is presented. Finally, an example is provided to examine our model.
Keywords
financial data processing; fuzzy set theory; closed form solution; fuzzy environment; fuzzy mean-CVaR model; fuzzy portfolio selection; fuzzy variable; hybrid intelligent algorithm; mean-CVaR models; portfolio selection problem; Biological cells; Business; Computational modeling; Numerical models; Portfolios; Security; Stochastic processes; Conditional Value-at-Risk (CVaR); Credibility theory; Fuzzy portfolio selection; Hybrid intelligent algorithm;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Computing and Global Informatization (BCGIN), 2011 International Conference on
Conference_Location
Shanghai
Print_ISBN
978-1-4577-0788-9
Electronic_ISBN
978-0-7695-4464-9
Type
conf
DOI
10.1109/BCGIn.2011.33
Filename
6003857
Link To Document