Multi-project Portfolio Based On Fuzzy Theory

From the middle of last century Markowitz proposed the mean - variance model since the Portfolio is always the research focus, many scholars have been established under the classical theory of portfolio model. But investors the level of investment risk and returns will tend to be subjective, and the future rate of return is subject to change, past returns and risks can return and risk for future reference, expected rate of return and risk change with fuzzy characteristic. Therefore, considering the context of fuzzy portfolio selection problem, to provide investors with a satisfactory investment strategy, has very important significance.In this paper, on the following aspects are discussed and research:1.This paper summarizes a lot of scholars in the uncertain environment created by the portfolio model, the classic portfolio model components of a detailed analysis, and the corresponding model expressions and the model's strengths and weaknesses.2.In the previous basis, focuses on the use of triangular fuzzy numbers and triangular fuzzy random variables that stock returns, combined with the possibility of credibility theory, the fuzzy expected value model cases.3. On the model, given the genetic algorithm.4. In the fuzzy case, the fuzzy expected value model, empirical analysis, using an objective statistical method to determine the frequency of fuzzy triangular fuzzy number of the left width and right width, given the fuzzy rate of return of each stock. Using the weighted two-objective programming into the single-objective programming, according to different risk weights are given chase, a risk neutral, risk averse portfolio investment strategy.5. Of the three types of investors to compare investment strategies, risk Chaser objective function value the most, were centered risk neutral, risk averse objective function value is minimal.