Application of Interval Valued Fuzzy Linear Programming for Stock Portfolio Optimization
- 1 Rizhao Polytechnic, Rizhao, China
Abstract
In this paper, based on existing results, decision making about portfolio investment schemes is discussed, ordering method of fuzzy numbers of interval value is shown, corresponding auxiliary models are established and solutions are provided with theories of fuzzy mathematics, optimization theory and numerical calculation, etc. Then it applies software programming to solve the portfolio investment situation between investors in savings and four securities according to the established models. The result shows that investors can choose the risk coefficient that they can bear to reach the maximum value of expected returns. The greater the risk coefficient, the greater the income, the smaller the risk coefficient and the smaller the income. Investors can determine their own portfolio strategy according to their own conditions in order to meet their own interests.
- Zhang, S. (2007) Application of Modern Portfolio Theory in Chinese Securities Market. Financial Times, 6, 26-28.
- Liu, T.T. and Wang, L. (2009) Research on Application of Stock Portfolio Theory. Modern Business Trade Industry, 21, 139-140.
- Markowitz, H.M. (1959) Portfolio Selection: Efficient Diversification of Investments. Yale University Press, Wiley.
- Markowitz, H.M. (1991) Foundations of Portfolio Theory. The Journal of Finance, No. 2, 469-477. https://doi.org/10.1111/j.1540-6261.1991.tb02669.x
- Chen, L., Peng, J., Zhang, B. and Rosyida, I. (2017) Diversified Models for Portfolio Selection Based on Uncertain Semivariance. International Journal of Systems Science, 48, 637-648. https://doi.org/10.1080/00207721.2016.1206985
- Qin, Z.F., KarHai, S. and Zheng, T. (2016) Uncertain Portfolio Adjusting Model Using Semiabsolute Deviation. Soft Computing, 20, 717-725. https://doi.org/10.1007/s00500-014-1535-y
- Zhang, B., Peng, J. and Li, S.G. (2015) Uncertain Programming Models for Portfolio Selection with Uncertain Returns. International Journal of Systems Science, 46, 2510-2519. https://doi.org/10.1080/00207721.2013.871366
- Zhang, Y.Y., Li, X. and Guo, S.N. (2017) Portfolio Selection Problems with Markowitz’s Mean-Variance Framework: A Review of Literature. Fuzzy Optimization and Decision Making, 1-34.
- Liu, Y.-J. and Zhang, W.-G. (2017) Fuzzy Portfolio Selection Model with Real Features and Different Decision Behaviors. Fuzzy Optimization and Decision Making, 1-20.
- Zhou, R.X., Yang, Z.B., Yu, M. and Ralescu, D.A. (2015) A Portfolio Optimization Model Based on Information Entropy and Fuzzy Time Series. Fuzzy Optimization and Decision Making, 14, 381-397. https://doi.org/10.1007/s10700-015-9206-8
- Wang, J., Lan, Y.F., Zhao, R.Q. and Xing, T.T. (2017) The Optimal Payment Policy for a Firm: Cash Sale versus Credit Sale. Soft Computing, 1-18.