Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4633314 | Applied Mathematics and Computation | 2009 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Guohua Chen, Xiaolian Liao, Shouyang Wang,