A cutting plane algorithm for MV portfolio selection model
文献类型：期刊论文
| 作者 | Chen, Guohua1; Liao, Xiaolian1; Wang, Shouyang2
|
| 刊名 | APPLIED MATHEMATICS AND COMPUTATION
 |
| 出版日期 | 2009-10-15 |
| 卷号 | 215期号:4页码:1456-1462 |
| 关键词 | Possibility theory Portfolio selection Cutting plane algorithm |
| ISSN号 | 0096-3003 |
| DOI | 10.1016/j.amc.2009.06.040 |
| 英文摘要 | 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. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000270417900014 |
| 出版者 | ELSEVIER SCIENCE INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/8171]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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