A cutting plane algorithm for MV portfolio selection model |
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Authors: | Guohua Chen Xiaolian Liao |
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Affiliation: | a Department of Mathematics, Hunan Institute of Humanities Science and Technology, Loudi 417000, China b Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, China |
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Abstract: | This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean variance (FMVC) portfolio selection model was proposed. The possibilistic programming problem can be transformed into a linear optimal problem with an additional quadratic constraint by possibilistic theory. For such problems there are no special standard algorithms. We propose a cutting plane algorithm to solve (FMVC). The nonlinear programming problem can be solved by sequence linear programming problem. A numerical example is given to illustrate the behavior of the proposed model and algorithm. |
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Keywords: | Possibility theory Portfolio selection Cutting plane algorithm |
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