Article ID Journal Published Year Pages File Type
477805 European Journal of Operational Research 2007 10 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
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