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Two new models for portfolio selection with stochastic returns taking fuzzy information
Authors:Xiaoxia Huang
Institution:School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China
Abstract:This paper proposes two new models for portfolio selection in which the security returns are stochastic variables with fuzzy information. A hybrid intelligent algorithm is designed to solve the optimization problem which is otherwise hard to solve with the existing algorithms due to the complexity of the return variables. To illustrate the modelling idea and to show the effectiveness of the proposed approach, two numerical examples are provided.
Keywords:Random optimization  Fuzzy optimization  Simulation  Portfolio selection  Genetic algorithm
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