A cutting plane algorithm for MV portfolio selection model

doi:10.1016/j.amc.2009.06.040

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	A cutting plane algorithm for MV portfolio selection model
	Chen, Guohua 1; Liao, Xiaolian 1; Wang, Shouyang2
	2009-10-15
发表期刊	APPLIED MATHEMATICS AND COMPUTATION
ISSN	0096-3003
卷号	215 期号:4 页码:1456-1462
摘要	This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean variance (FMVC) portfolio selection model was proposed. The possibilistic programming problem can be transformed into a linear optimal problem with an additional quadratic constraint by possibilistic theory. For such problems there are no special standard algorithms. We propose a cutting plane algorithm to solve (FMVC). The nonlinear programming problem can be solved by sequence linear programming problem. A numerical example is given to illustrate the behavior of the proposed model and algorithm. (C) 2009 Elsevier Inc. All rights reserved.
关键词	Possibility theory Portfolio selection Cutting plane algorithm
DOI	10.1016/j.amc.2009.06.040
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000270417900014
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8172
专题	系统科学研究所
通讯作者	Chen, Guohua
作者单位	1.Hunan Inst Humanities Sci & Technol, Dept Math, Loudi 417000, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, Guohua,Liao, Xiaolian,Wang, Shouyang. A cutting plane algorithm for MV portfolio selection model[J]. APPLIED MATHEMATICS AND COMPUTATION,2009,215(4):1456-1462.
APA	Chen, Guohua,Liao, Xiaolian,&Wang, Shouyang.(2009).A cutting plane algorithm for MV portfolio selection model.APPLIED MATHEMATICS AND COMPUTATION,215(4),1456-1462.
MLA	Chen, Guohua,et al."A cutting plane algorithm for MV portfolio selection model".APPLIED MATHEMATICS AND COMPUTATION 215.4(2009):1456-1462.