A mean-semivariance model for stock portfolio selection in fuzzy random environment

This paper discusses stock portfolio selection problem in fuzzy random environment. In the paper, the returns of each security are assumed to be fuzzy random variables, then following the ideas of mean-semivariance model in a fuzzy random environment is proposed. Based on the concept of semivariance of fuzzy random variable, a mean-semivariance model in is proposed. To solve the new model in general cases, a fuzzy random simulation based genetic algorithm is presented in the paper. In addition, a numerical example is presented to illustrate the proposed stock portfolio selection model and the effectiveness of the designed algorithm.