模糊随机投资组合的Optimization及其和声搜索算法实现
Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm
摘要：
本文首先回顾了模糊随机投资组合理论，并描述了投资组合最优化模型的概念，作为一个有用的工具，帮助金融从业者和研究人员。其次，本文特别针对应用可能性为基础的模型转换的模糊随机变量的线性规划。应用和声搜索算法求解以收益最大化为目标的投资组合问题。我们提供了一个数值例子来说明所提出的模型。结果表明，本文的进化方法与和声搜索算法，可以一致地处理实际的投资组合选择问题。
英文摘要：
This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at applying possibility-based models for transforming the fuzzy random variables to the linear programming. The harmony search algorithm approaches to resolve the portfolio selection problem with the objective of return maximization is applied. We provide a numerical example to illustrate the proposed model. The results show that the evolutionary method of this paper with harmony search algorithm, can consistently handle the practical portfolio selection problem.
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