Risk Curve and Bifuzzy Portfolio Selection
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TL;DR
In order to solve the portfolio problem when security returns are bifuzzy variables, a new definition of risk is proposed, then one type of portfolio selection based on expected value and risk is provided according to bifBuzzy theory and a hybrid intelligent algorithm is designed.
Abstract
In order to solve the portfolio problem when security returns are bifuzzy variables, firstly we propose a new definitionof risk, then one type of portfolio selection based on expected value and risk is provided according to bifuzzy theory.Furthermore, a hybrid intelligent algorithm by integrating bifuzzy simulation and genetic algorithm is designed. Finally,one numerical experiment is provided to illustrate effectiveness of the hybrid intelligent algorithm.