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摘要
This paper proposes a new fuzzy model for portfolio selection problem, which takes into account the vagueness of the investor's preferences. The model proposed in this paper also regards the elastic increment of decision-making risk, background risk, and other financial risks. In order to solve this model, we present a modified evolutionary algorithm called modified chaos fruit fly optimization algorithm, which is more adequate when a quick and efficient solution is needed. Numerical examples are given to illustrate the effect of the background risk on portfolio selection.
- 出版日期2015-6
- 单位华南理工大学
