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Portfolio selection theory with fuzzy returns has been well developed and widely applied. Within the framework of credibility theory, several fuzzy portfolio selection models have been proposed such as mean–variance model, entropy optimization model, chance constrained programming model and so on. In order to solve these nonlinear optimization models, a hybrid intelligent algorithm is designed by...
Within the framework of credibility theory, several fuzzy portfolio selection models have been researched such as mean-variance model, chance constrained programming model, entropy optimization model and so on. However, all of them are proposed in the forms of single-objective programming, and there is no investigation on the transaction costs between the new portfolio and the existing one. In this...
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