Fuzzy portfolio selection problems based on credibility theory

Authors:
Yanju Chen;Yan-Kui Liu;Junfen Chen
Affiliations:
College of Mathematics and Computer Science, Hebei University, Baoding, Hebei, China;College of Mathematics and Computer Science, Hebei University, Baoding, Hebei, China;College of Mathematics and Computer Science, Hebei University, Baoding, Hebei, China
Venue:
ICMLC'05 Proceedings of the 4th international conference on Advances in Machine Learning and Cybernetics
Year:
2005

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Abstract

We first deduce the variance formulas of normal, triangular and trapezoidal fuzzy variables in credibility theory. Then two classes of fuzzy portfolio selection models are built based on credibility measure, the expected value and variance of a fuzzy variable. To solve the proposed models, a genetic algorithm is employed. Finally, two numerical examples are provided for the proposed portfolio selection models to test the designed algorithm.