A Class of Chance Constrained Multi-objective Portfolio Selection Model Under Fuzzy Random Environment

Jiuping Xu (), Xiaoyang Zhou () and Steven Li ()
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Jiuping Xu: Sichuan University
Xiaoyang Zhou: Sichuan University
Steven Li: University of South Australia

Journal of Optimization Theory and Applications, 2011, vol. 150, issue 3, No 6, 530-552

Abstract: Abstract This paper deals with a class of chance constrained portfolio selection problems in the fuzzy random decision making system. An integrated fuzzy random portfolio selection model with a chance constraint is proposed on the basis of the mean-variance model and the safety-first model. According to different definitions of chance, we consider two types of fuzzy random portfolio selection models: one is for the optimistic investors and the other is for the pessimistic investors. In order to deal with the fuzzy random models, we develop a few theorems on the variances of fuzzy random returns and the equivalent partitions of two types of chance constraints. We then transform the fuzzy random portfolio selection models into their equivalent crisp models. We further employ the ε-constraint method to obtain the efficient frontier. Finally, we apply the proposed models and approaches to the Chinese stock market as an illustration.

Keywords: Portfolio selection; Fuzzy random variable; Chance constraint; ε-Constraint method; Chinese stock market (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-011-9852-0

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