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This paper discusses portfolio selection problem with fuzzy returns. Different from other researches in fuzzy portfolio selection, this paper selects portfolio based on credibility measure instead of possibility measure. In addition, different from Markowitz's mean-variance modelling idea, this paper regards a portfolio with a relatively high variance as safe if its expected value is sufficiently high. One new fuzzy optimization model is provided, and a hybrid intelligent algorithm is presented to solve the model problem in general cases. One numerical example is also given for the sake of illustration.