Authors: Limei Yan
Addresses: Department of Mathematics, Dezhou University, Dezhou 253023, China
Abstract: The aim of this paper is to solve the portfolio problem when security returns are characterised as uncertain variables. One type of portfolio selection programming models based on uncertain measure is provided according to uncertain theory. Since generally the proposed optimisation problems are difficult to solve by conventional methods, thus the models are converted to their crisp equivalents when the return rates are described as some special uncertain variables such as linear uncertain variable, zigzag uncertain variable and normal uncertain variable. It is natural that the optimal solutions to the transformed models are obtained by conventional methods. Finally, one numerical example is given to illustrate the effectiveness of the method.
Keywords: portfolio selection; uncertain variables; crisp equivalent programming models; uncertainty.
International Journal of Intercultural Information Management, 2011 Vol.2 No.4, pp.333 - 342
Available online: 02 Aug 2011 *Full-text access for editors Access for subscribers Purchase this article Comment on this article