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Expected model for portfolio selection with random fuzzy returns

机译：具有随机模糊收益的投资组合选择的期望模型

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This paper researches portfolio selection problem in combined uncertain environment of randomness and fuzziness. Due to the complexity of the security market, expected values of the security returns may not be predicted accurately. In the paper, expected returns of securities are assumed to be given by fuzzy variables. Security returns are regarded as random fuzzy variables, i.e. random returns with fuzzy expected values. Following Markowitz's idea of quantifying investment return by the expected value of the portfolio and risk by the variance, a new type of mean-variance model is proposed. In addition, a hybrid intelligent algorithm is provided to solve the new model problem. A numeral example is also presented to illustrate the optimization idea and the effectiveness of the proposed algorithm.
机译：研究了随机和模糊相结合的不确定环境下的证券投资组合选择问题。由于证券市场的复杂性，可能无法准确预测证券收益的期望值。在本文中，假设证券的预期收益由模糊变量给出。安全收益被视为随机模糊变量，即具有模糊期望值的随机收益。继Markowitz提出通过投资组合的期望值量化投资回报并通过方差量化风险的想法之后，提出了一种新型的均值方差模型。另外，提供了一种混合智能算法来解决新模型问题。还给出了一个数字示例来说明优化思想和所提出算法的有效性。

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