Title :
Credibility Mean-Variance-skewness Portfolio Selection Model
Author :
Chen, Guohua ; Liao, Xiaolian
Author_Institution :
Dept. of Math., Hunan Inst. of Humanities Sci. & Technol., Loudi, China
Abstract :
Credibility mean-variance-skewness model for optimal portfolio selection is formulated based on the credibility theory, and the crisp equivalents are given by chance programming approach, when parameters are characterized by trapezoidal fuzzy variables. Furthermore, a genetic algorithm is designed for solving the crisp equivalents.
Keywords :
fuzzy set theory; genetic algorithms; investment; chance programming; credibility mean variance skewness model; credibility theory; genetic algorithm; optimal portfolio selection; trapezoidal fuzzy variables; Biological system modeling; Computational modeling; Linear programming; Mathematical model; Optimization; Portfolios; Programming;
Conference_Titel :
Database Technology and Applications (DBTA), 2010 2nd International Workshop on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6975-8
Electronic_ISBN :
978-1-4244-6977-2
DOI :
10.1109/DBTA.2010.5659059
