Reliable portfolio selection problem in fuzzy environment: an m_ measure based approach

DOI10.3390/A10020043MaRDI QIDQ1662706zbMATH OpenOpenAlexFDO

Authors Yuan Feng, Li Wang, Xinhong Liu

Publication date 20 August 2018

Published in Algorithms (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3390/a10020043

zbMATH Keywords

\(m_\lambda\) measureexpected value operatorgenetic algorithmportfolio selection problem

Mathematics Subject Classification ID

Fuzziness in connection with statistical distributions (62E86) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Review text

Summary: This paper investigates a fuzzy portfolio selection problem with guaranteed reliability, in which the fuzzy variables are used to capture the uncertain returns of different securities. To effectively handle the fuzziness in a mathematical way, a new expected value operator and variance of fuzzy variables are defined based on the \(m_\lambda\) measure that is a linear combination of the possibility measure and necessity measure to balance the pessimism and optimism in the decision-making process. To formulate the reliable portfolio selection problem, we particularly adopt the expected total return and standard variance of the total return to evaluate the reliability of the investment strategies, producing three risk-guaranteed reliable portfolio selection models. To solve the proposed models, an effective genetic algorithm is designed to generate the approximate optimal solution to the considered problem. Finally, the numerical examples are given to show the performance of the proposed models and algorithm.

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Cited in

(1)

• Stochastic portfolio selection problem with reliability criteria

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