A new perspective for optimal portfolio selection with random fuzzy returns. (English) Zbl 1304.91195
Summary: The aim of this paper is to solve the portfolio selection problem when security returns contain both randomness and fuzziness. Utilizing a different perspective, this paper gives a new definition of risk for random fuzzy portfolio selection. A new optimal portfolio selection model is proposed based on this new definition of risk. A new hybrid intelligent algorithm is designed for solving the new optimization problem. In the proposed new algorithm, neural networks are employed to calculate the expected value and the chance value. These greatly reduce the computational work and speed up the process of solution as compared with the random fuzzy simulation used in our previous algorithm. A numerical example is also presented to illustrate the new modelling idea and the proposed new algorithm.
MSC:
| 91G10 | Portfolio theory |
| 90C70 | Fuzzy and other nonstochastic uncertainty mathematical programming |
| 90C90 | Applications of mathematical programming |
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