journal6 ›› 2006, Vol. 27 ›› Issue (6): 18-21.

• Mathematics • Previous Articles     Next Articles

A Fuzzy Two-Stage Algorithm for Multi-Objective Portfolio Selection Model

  

  1. (1.Department of Mathematics,Hunan Institute of Humanities Science and Technology,Loudi 417000,Hunan China;2.School of Business Administration,Hunan University,Changsha 410082,China;3.School of Mathematical  Science and Computing Technology,Central South University,Changsha 410075,China)
  • Online:2006-11-25 Published:2012-06-28

Abstract: Multi-objective portfolio selection model is studied.In this  model,the risk is taken as the sum of the absolute deviation of the risk assets instead of covariance.It is a multi-objective linear optimal problem.Fuzzy two-stage algorithm is applied to solve it.The optimum solution of an example about this portfolio model is given with this new algorithm.

Key words: portfolio selection model, fuzzy two-stage algorithm, multi-objective linear optimization

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