Abstract
This paper proposes a new fuzzy model for portfolio selection problem, which takes into account the vagueness of the investor’s preferences. The model proposed in this paper also regards the elastic increment of decision-making risk, background risk, and other financial risks. In order to solve this model, we present a modified evolutionary algorithm called modified chaos fruit fly optimization algorithm, which is more adequate when a quick and efficient solution is needed. Numerical examples are given to illustrate the effect of the background risk on portfolio selection.





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Acknowledgments
The authors would like to acknowledge the support of National Natural Science Foundation of China (71171086), Guangdong Universities Humanities and Social Science Key Research Base Project (2012JDXM_0006), and NCET (10-0401).
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Xu, W., Deng, X. & Li, J. A New Fuzzy Portfolio Model Based on Background Risk Using MCFOA. Int. J. Fuzzy Syst. 17, 246–255 (2015). https://doi.org/10.1007/s40815-015-0017-4
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DOI: https://doi.org/10.1007/s40815-015-0017-4