A Fuzzy Portfolio Model With Cardinality Constraints Based on Differential Evolution Algorithms
JianDong He
Abstract:Uncertain information in the securities market exhibits fuzziness. In this article, expected returns and liquidity are considered as trapezoidal fuzzy numbers. The possibility mean and mean absolute deviation of expected returns represent the returns and risks of securities assets, while the possibility mean of expected turnover represents the liquidity of securities assets. Taking into account practical constraints such as cardinality and transaction costs, this article establishes a fuzzy portfolio model wit… Show more
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