TITLE:
Application of Interval Valued Fuzzy Linear Programming for Stock Portfolio Optimization
AUTHORS:
Deyu Yin
KEYWORDS:
Stock Portfolio Investment, Mathematical Optimization Model, Application
JOURNAL NAME:
Applied Mathematics,
Vol.9 No.2,
February
22,
2018
ABSTRACT:
In this paper, based on existing results, decision making about portfolio investment
schemes is discussed, ordering method of fuzzy numbers of interval
value is shown, corresponding auxiliary models are established and solutions
are provided with theories of fuzzy mathematics, optimization theory and
numerical calculation, etc. Then it applies software programming to solve the
portfolio investment situation between investors in savings and four securities
according to the established models. The result shows that investors can
choose the risk coefficient that they can bear to reach the maximum value of
expected returns. The greater the risk coefficient, the greater the income, the
smaller the risk coefficient and the smaller the income. Investors can determine
their own portfolio strategy according to their own conditions in order
to meet their own interests.