帝国竞争算法在模糊随机投资组合问题中的应用
The Application of Imperialist Competitive Algorithm for Fuzzy Random Portfolio Selection Problem
摘要：
本文提出了一种帝国主义竞争算法（ICA）的实现，用于解决模糊随机投资组合问题，其中资产收益率是由模糊随机变量表示。投资组合优化是现代金融学的一个重要研究领域。利用基于必要性的模型，将模糊随机变量转化为线性规划，并设计独立分量分析，以寻找最优解。最后通过一个算例说明了ICA在模糊随机投资组合问题中的应用。
英文摘要：
This paper presents an implementation of the Imperialist Competitive Algorithm (ICA) for solving the fuzzy random portfolio selection problem where the asset returns are represented by fuzzy random variables. Portfolio Optimization is an important research field in modern finance. By using the necessity-based model, fuzzy random variables reformulate to the linear programming and ICA will be designed to find the optimum solution. To show the efficiency of the proposed method, a numerical example illustrates the whole idea on implementation of ICA for fuzzy random portfolio selection problem.
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