A Portfolio Selection Model With Fuzzy Returns

The core problem of Portfolio theory is how to allocate and utilize capital assets under risk.The uncertainty of the returns on a given portfolio is modeled using fuzzy quantities. The authors apply possibilitic theory to study portfolio selection prob-lems. Firstly, the expected returns modeled using possibilitic mean and the possibilitic variances used to describe the risk, we build a portfolio optimization problem it has the double objective of maximizing the return on an investment and minimizing risk. Secondly, consider to it’s non-linear and multi-objective of the model,we used genetic algorithm which including elite and mutation operations to solve it. Finally, we give a empirical analysis of the model with a data set form the Shanghai and Shenzhen stock market.The results show that the method has good value for application.