Risk Curve and Bifuzzy Portfolio Selection

Limei Yan


In order to solve the portfolio problem when security returns are bifuzzy variables, firstly we propose a new definition
of 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.

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DOI: https://doi.org/10.5539/jmr.v1n2p193

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Journal of Mathematics Research   ISSN 1916-9795 (Print)   ISSN 1916-9809 (Online)

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