Minimax mean-variance models for fuzzy portfolio selection

This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linea...

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Bibliographic Details
Published inSoft computing (Berlin, Germany) Vol. 15; no. 2; pp. 251 - 260
Main Author Huang, Xiaoxia
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer-Verlag 01.02.2011
Springer Nature B.V
Subjects
Algorithms
Artificial Intelligence
Computational Intelligence
Control
Credibility
Engineering
Expected values
Fuzzy sets
Investors
Linear programming
Mathematical Logic and Foundations
Mechatronics
Minimax technique
Original Paper
Random variables
Robotics
Variance
Portfolio optimization
Investment analysis
Fuzzy programming
Minimax model
Fuzzy portfolio selection
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ISSN1432-7643
1433-7479
DOI10.1007/s00500-010-0654-3

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Summary:This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linear programming ones are given in three special cases. In addition, a general solution algorithm is also provided. To help understand the modeling idea and to illustrate the effectiveness of the proposed algorithm, one example is presented.
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ISSN:1432-7643
1433-7479
DOI:10.1007/s00500-010-0654-3