Abstract
Securities market is a complex system. In the actual asset allocation decision-making process, people often face the double uncertainty environment where randomness and fuzziness coexist. Based on fuzzy random theory it discuss asset allocation problem in fuzzy random environment following the thought of mean-variance model made by Markowitz. Assuming every future return rate is LR-type fuzzy random variables, these three objectives which are return, risk and liquidity are scribed as the fuzzy expected rate of return, fuzzy random yield variance and the determinate possible average value of random exchange rate. Set up multi-objective asset allocation model with complex constrains under the fuzzy random environment, based on some additional conditions which are generated possibly in the practical investment activities with genetic algorithms compromise designing model, use its solving the way, and illustrate multi-objective asset allocation model with complex constrains is feasible through the operator example.
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Guo, Yq., Lu, Sc. (2009). The Research of Multi-objective Asset Allocation Model with Complex Constraint Conditions in a Fuzzy Random Environment. In: Cao, B., Li, TF., Zhang, CY. (eds) Fuzzy Information and Engineering Volume 2. Advances in Intelligent and Soft Computing, vol 62. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-03664-4_149
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DOI: https://doi.org/10.1007/978-3-642-03664-4_149
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