Open Access Open Access  Restricted Access Subscription or Fee Access

A Fuzzy Portfolio Selection Model with Cardinality Constraints Based on Differential Evolution Algorithm

He Jiandong

Abstract


It is difficult to estimate the expected rates of security returns precisely for many uncertainties. In this paper, we use fuzzy numbers to describe the uncertainty, and use the possibilitic mean value and variance to describe return and risk. And then a nonlinear mixed-integer programming with cardinality constraints is established and solved by a Modified Differential Evolution Algorithm . Finally, an applied example is given to illustrate the effectiveness and reliance of the model.

Keywords


portfolio selection, fuzzy numbercardinality constraints differential evolution algorithm

Full Text:

PDF

Refbacks

  • There are currently no refbacks.


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.