A class of possibilistic portfolio selection model with interval coefficients and its application

Authors:
Jun Li;Jiuping Xu
Affiliations:
Uncertainty Decision Making Laboratory, School of Business and Administration, Sichuan University, Chengdu, China 610064;Uncertainty Decision Making Laboratory, School of Business and Administration, Sichuan University, Chengdu, China 610064
Venue:
Fuzzy Optimization and Decision Making
Year:
2007

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Abstract

Because of the existence of non-stochastic factors in stock markets, several possibilistic portfolio selection models have been proposed, where the expected return rates of securities are considered as fuzzy variables with possibilistic distributions. This paper deals with a possibilistic portfolio selection model with interval center values. By using modality approach and goal attainment approach, it is converted into a nonlinear goal programming problem. Moreover, a genetic algorithm is designed to obtain a satisfactory solution to the possibilistic portfolio selection model under complicated constraints. Finally, a numerical example based on real world data is also provided to illustrate the effectiveness of the genetic algorithm.