论文信息 - Mean-CVaR Models for Fuzzy Portfolio Selection

Mean-CVaR Models for Fuzzy Portfolio Selection

This paper discusses portfolio selection problem in fuzzy environment. In the paper, CVaR is originally presented for fuzzy variable. Based on the concept of CVaR of fuzzy variable, two fuzzy mean-CVaR models are proposed. To solve the new models in general cases, a fuzzy simulation based genetic algorithm is presented in the paper. In addition, by two numerical examples we compare mean-CVaR models with mean-semi variance model. Numerical solutions illustrate that the mean-CVaR model can control risk better than mean-semi variance model.

Xinli Zhang | Wenyu Sun

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