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A cutting plane algorithm for MV portfolio selection model
Chen, Guohua1; Liao, Xiaolian1; Wang, Shouyang2
2009-10-15
Source PublicationAPPLIED MATHEMATICS AND COMPUTATION
ISSN0096-3003
Volume215Issue:4Pages:1456-1462
AbstractThis 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.
KeywordPossibility theory Portfolio selection Cutting plane algorithm
DOI10.1016/j.amc.2009.06.040
Language英语
WOS Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000270417900014
PublisherELSEVIER SCIENCE INC
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/8172
Collection系统科学研究所
Corresponding AuthorChen, Guohua
Affiliation1.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
Recommended Citation
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.
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