The K-T conditions for portfolio selection problem in fuzzy decision system
- Resource Type
- Conference
- Authors
- Ying Liu; Hao, Fang-Fang
- Source
- 2009 International Conference on Machine Learning and Cybernetics Machine Learning and Cybernetics, 2009 International Conference on. 2:860-865 Jul, 2009
- Subject
- Computing and Processing
Robotics and Control Systems
Portfolios
Fuzzy systems
Machine learning
Cybernetics
Fuzzy variable
portfolio selection
expected value
variance
K-T conditions
- Language
- ISSN
- 2160-133X
2160-1348
This paper introduces a type of mean-variance model for portfolio selection problem, in which the security returns are assumed to be fuzzy variables. To solve the portfolio problem, this paper applies the variance formulas to the proposed model so that the original optimization problem can be reduced to the deterministic one, which can be solved by applying Kuhn-Tucker (K-T) conditions A numerical example is presented to demonstrate the proposed method.