@inproceedings{569a5c46d5db4f1f992363bf88a61f0d,
title = "Mean-variance adjusting model for portfolio selection problem with fuzzy random returns",
abstract = "In this paper, we consider portfolio adjusting problem in the environment with multiple uncertainties. We establish two kinds of mean-variance adjusting models. The first one is formulated by only taking into account the transaction costs, and the second one is established by simultaneously considering transaction costs and minimum transaction lots. In the situation that all the returns are symmetrical triangular fuzzy random variables, these two models are converted into equivalent deterministic forms which are mixed-integer nonlinear programming models. Finally, a numerical example is given to illustrate the modelling idea.",
keywords = "fuzzy random variable, mean-variance model, portfolio adjusting problem, portfolio optimization",
author = "Zhongfeng Qin and Lei Xu",
note = "Publisher Copyright: {\textcopyright} 2014 IEEE.; 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014 ; Conference date: 04-07-2014 Through 06-07-2014",
year = "2014",
month = oct,
day = "14",
doi = "10.1109/CSO.2014.147",
language = "英语",
series = "Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "83--87",
editor = "Lean Yu and Qing Zhu and Jian Chai and Jian Chai and Shouyang Wang",
booktitle = "Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014",
address = "美国",
}