MEAN-ABSOLUTE DEVIATION PORTFOLIO SELECTION MODEL WITH FUZZY RETURNS
نویسندگان
1 School of Economics and Management, Beihang University, Beijing 100191, China
2 School of Reliability and Systems Engineering, Beihang University, Beijing 100191, China
3 Sinopec Management Institute, Beijing 100012, China
doi
10.22111/ijfs.2011.308چکیده
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.
