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A cutting plane algorithm for MV portfolio selection model
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AI
DOI：10.1016/j.amc.2009.06.040.png)
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Abstract
En 中文
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.
Keywords:
Possibility theory
Portfolio selection
Cutting plane algorithm
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