Evaluating methods of investment project and optimizing models of portfolio selection in fuzzy uncertainty

  • Authors:

  • Wei-Guo Zhang;Qin Mei;Qian Lu;Wei-Lin Xiao

  • Affiliations:

  • School of Business Administration, South China University of Technology, Guangzhou 510640, China;School of Business Administration, South China University of Technology, Guangzhou 510640, China;School of Business Administration, South China University of Technology, Guangzhou 510640, China;School of Business Administration, South China University of Technology, Guangzhou 510640, China

  • Venue:
  • Computers and Industrial Engineering
  • Year:
  • 2011

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Abstract

This paper deals with the problems of both project valuation and portfolio selection under the assumption that the investment capitals and the net cash flows of the projects are fuzzy variables. Using the credibilistic expected value and the credibilistic lower semivariance of fuzzy variables, this paper proposes both the credibilistic return index and the credibilistic risk index, which are measures of investment return and investment risk with annuity form for evaluating single project. Moreover, a composite risk-return index for selecting the optimal investment strategy is also presented. Then, we set up a general project portfolio optimization model with fuzzy returns and two specific models: triangle and interval fuzzy returns. Furthermore, we provide two algorithms: the improved heuristic rules based on genetic algorithm and the traversal algorithm. Finally, two numerical examples are presented to illustrate the efficiency and the effectiveness of these proposed optimization methods.