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Evaluating methods of investment project and optimizing models of portfolio selection in fuzzy uncertainty

机译：模糊不确定性下的投资项目评价方法与投资组合选择优化模型

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This paper deals with the problems of both project valuation and portfolio selection under the assumption that the investment capitals and the net cash flows of the projects are fuzzy variables. Using the credibilistic expected value and the credibilistic lower semivariance of fuzzy variables, this paper proposes both the credibilistic return index and the credibilistic risk index, which are measures of investment return and investment risk with annuity form for evaluating single project. Moreover, a composite risk-return index for selecting the optimal investment strategy is also presented. Then, we set up a general project portfolio optimization model with fuzzy returns and two specific models: triangle and interval fuzzy returns. Furthermore, we provide two algorithms: the improved heuristic rules based on genetic algorithm and the traversal algorithm. Finally, two numerical examples are presented to illustrate the efficiency and the effectiveness of these proposed optimization methods.
机译：本文假设项目的投资资本和净现金流量为模糊变量，从而解决了项目估值和项目组合选择的问题。利用模糊变量的可信度期望值和可信度较低的半方差，提出了可信度收益指数和可信度风险指数，以年金形式对投资收益和投资风险进行度量，以评价单个项目。此外，还提出了用于选择最佳投资策略的综合风险收益指数。然后，我们建立了具有模糊收益和两个特定模型的一般项目组合优化模型：三角形和区间模糊收益。此外，我们提供了两种算法：基于遗传算法和遍历算法的改进启发式规则。最后，通过两个数值例子说明了这些优化方法的效率和有效性。

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