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A Fuzzy Portfolio Selection Model with Cardinality Constraints Based on Differential Evolution Algorithm

He Jiandong


It is difficult to estimate the expected rates of security returns precisely for many uncertainties. In this paper, we use fuzzy numbers to describe the uncertainty, and use the possibilitic mean value and variance to describe return and risk. And then a nonlinear mixed-integer programming with cardinality constraints is established and solved by a Modified Differential Evolution Algorithm . Finally, an applied example is given to illustrate the effectiveness and reliance of the model.


portfolio selection, fuzzy numbercardinality constraints differential evolution algorithm

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