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MEAN-ABSOLUTE DEVIATION PORTFOLIO SELECTION MODEL WITH FUZZY RETURNS | ||
| Iranian Journal of Fuzzy Systems | ||
| مقاله 5، دوره 8، شماره 4، دی 2011، صفحه 61-75 اصل مقاله (140.63 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijfs.2011.308 | ||
| نویسندگان | ||
| Zhongfeng Qin1؛ Meilin Wen* 2؛ Changchao Gu3 | ||
| 1School of Economics and Management, Beihang University, Beijing 100191, China | ||
| 2School of Reliability and Systems Engineering, Beihang University, Beijing 100191, China | ||
| 3Sinopec Management Institute, Beijing 100012, China | ||
| چکیده | ||
| In this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. We first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. Then we propose two mean-absolute deviation models by defining risk as absolute deviation to search for optimal portfolios. Furthermore, we design a hybrid intelligent algorithm by integrating genetic algorithm and fuzzy simulation to solve the proposed models. Finally, we illustrate this approach with two numerical examples. | ||
| کلیدواژهها | ||
| Uncertainty modelling؛ Fuzzy variable؛ Fuzzy portfolio selection؛ Credibility theory؛ Hybrid intelligent algorithm | ||
| مراجع | ||
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