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Fuzzy random portfolio selection problem

Proceedings - 2007 International Conference on Computational Intelligence and Security, CIS 2007 (2007) 515-519
DOI: 10.1109/CIS.2007.140
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Abstract

In this paper, we discuss a portfolio selection problem in a fuzzy random decision system. A new type of portfolio selection model is proposed based on fuzzy random theory. To solve the proposed model, we first present the variance formulas of triangular fuzzy random variables, then design a genetic algorithm. Finally, we provide a numerical experiment to illustrate the feasibility and effectiveness of the proposed algorithm. © 2007 IEEE.

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Hao, F. F., & Liu, Y. K. (2007). Fuzzy random portfolio selection problem. In Proceedings - 2007 International Conference on Computational Intelligence and Security, CIS 2007 (pp. 515–519). https://doi.org/10.1109/CIS.2007.140

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