基于均值- cvar模型的模糊投资组合选择

2011 International Conference on Business Computing and Global Informatization Pub Date : 2011-07-29 DOI:10.1109/BCGIN.2011.33

Jian-wei Gao, Xunan Zhang, Qingzhuang Wang

{"title":"基于均值- cvar模型的模糊投资组合选择","authors":"Jian-wei Gao, Xunan Zhang, Qingzhuang Wang","doi":"10.1109/BCGIN.2011.33","DOIUrl":null,"url":null,"abstract":"This paper studies the portfolio selection problem under the fuzzy environment. First, we introduce the concept of CVaR of fuzzy variable, and then under this concept a fuzzy mean-CVaR model is proposed. In general it is impossible to find out the closed form solution, thus a hybrid intelligent algorithm is presented. Finally, an example is provided to examine our model.","PeriodicalId":127523,"journal":{"name":"2011 International Conference on Business Computing and Global Informatization","volume":"30 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Fuzzy Portfolio Selection Based on Mean-CVaR Models\",\"authors\":\"Jian-wei Gao, Xunan Zhang, Qingzhuang Wang\",\"doi\":\"10.1109/BCGIN.2011.33\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper studies the portfolio selection problem under the fuzzy environment. First, we introduce the concept of CVaR of fuzzy variable, and then under this concept a fuzzy mean-CVaR model is proposed. In general it is impossible to find out the closed form solution, thus a hybrid intelligent algorithm is presented. Finally, an example is provided to examine our model.\",\"PeriodicalId\":127523,\"journal\":{\"name\":\"2011 International Conference on Business Computing and Global Informatization\",\"volume\":\"30 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-07-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2011 International Conference on Business Computing and Global Informatization\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/BCGIN.2011.33\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 International Conference on Business Computing and Global Informatization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/BCGIN.2011.33","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

本文研究了模糊环境下的投资组合选择问题。首先引入模糊变量CVaR的概念，然后在此概念下提出模糊均值-CVaR模型。针对一般情况下无法求出封闭形式解的问题，提出了一种混合智能算法。最后，给出了一个例子来检验我们的模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Fuzzy Portfolio Selection Based on Mean-CVaR Models

This paper studies the portfolio selection problem under the fuzzy environment. First, we introduce the concept of CVaR of fuzzy variable, and then under this concept a fuzzy mean-CVaR model is proposed. In general it is impossible to find out the closed form solution, thus a hybrid intelligent algorithm is presented. Finally, an example is provided to examine our model.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

2011 International Conference on Business Computing and Global Informatization

自引率

0.00%

发文量

期刊最新文献

Hybrid Bisect K-Means Clustering Algorithm A Labeling Algorithm for the Earliest and Latest Time-Varying Maximum Flow Problems The Research on Motive Force of Urban Development Based on Informationization The Eddy Currents Calculation Based on the Least Square Algorithm for EAST A Passive Locating Algorithm for Motive Target Based on Modified Particle Filter Method