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Studying of portfolio investment fuzzy decision model based on genetic algorithm

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3 Author(s)
Xia Liu ; Dept. of Autom., Harbin Eng. Univ., Heilongjiang, China ; Hongxia Chu ; Kejun Wang

At first, an outline of portfolio model and the concept of multiple-objective optimum are described in the paper and the representative application of fuzzy multiple-objective decision is also emphasized in succession. Then, portfolio model's multiple-objective optimal problem is converted into the fuzzy multiple-objective decision problem by using the fuzzy optimum seeking method based on the fuzzy multiple-objective decision. Afterwards, the optimal solution of portfolio investment model is obtained by using genetic algorithm, which has the characteristic of global optimization search. The method that GA is used in solving the optimal solution of fuzzy decision model is an innovation in this paper. The optimum solution of the decision model is obtained through C++ programming in the end. Experimental result shows that the method acquires the preferable effect.

Published in:

Mechatronics and Automation, 2005 IEEE International Conference  (Volume:2 )

Date of Conference:

29 July-1 Aug. 2005