این سایت در حال حاضر پشتیبانی نمی شود و امکان دارد داده های نشریات بروز نباشند
Iranian Journal of Fuzzy Systems، جلد ۸، شماره ۴، صفحات ۶۱-۷۵
عنوان فارسی MEAN-ABSOLUTE DEVIATION PORTFOLIO SELECTION MODEL WITH FUZZY RETURNS
چکیده فارسی مقاله 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.
کلیدواژه‌های فارسی مقاله Uncertainty modelling، Fuzzy variable، Fuzzy portfolio selection، Credibility theory، Hybrid intelligent algorithm،
عنوان انگلیسی MEAN-ABSOLUTE DEVIATION PORTFOLIO SELECTION MODEL WITH FUZZY RETURNS
چکیده انگلیسی مقاله 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.
کلیدواژه‌های انگلیسی مقاله Uncertainty modelling, Fuzzy variable, Fuzzy portfolio selection, Credibility theory, Hybrid intelligent algorithm
نویسندگان مقاله Zhongfeng Qin |
School of Economics and Management, Beihang University, Beijing 100191, China

Meilin Wen |
School of Reliability and Systems Engineering, Beihang University, Beijing 100191, China

Changchao Gu |
Sinopec Management Institute, Beijing 100012, China

نشانی اینترنتی http://ijfs.usb.ac.ir/article_308_3b4ec0110e6e5007d107918ec346e5a6.pdf
فایل مقاله فایلی برای مقاله ذخیره نشده است
کد مقاله (doi)
زبان مقاله منتشر شده en
موضوعات مقاله منتشر شده
نوع مقاله منتشر شده
برگشت به: صفحه اول پایگاه   |   نسخه مرتبط   |   نشریه مرتبط   |   فهرست نشریات