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
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;
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
DOI :
10.1109/BCGIn.2011.33
