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A Class of Chance Constrained Multi-objective Portfolio Selection Model Under Fuzzy Random Environment

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Abstract

This paper deals with a class of chance constrained portfolio selection problems in the fuzzy random decision making system. An integrated fuzzy random portfolio selection model with a chance constraint is proposed on the basis of the mean-variance model and the safety-first model. According to different definitions of chance, we consider two types of fuzzy random portfolio selection models: one is for the optimistic investors and the other is for the pessimistic investors. In order to deal with the fuzzy random models, we develop a few theorems on the variances of fuzzy random returns and the equivalent partitions of two types of chance constraints. We then transform the fuzzy random portfolio selection models into their equivalent crisp models. We further employ the ε-constraint method to obtain the efficient frontier. Finally, we apply the proposed models and approaches to the Chinese stock market as an illustration.

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Authors and Affiliations

  1. Uncertainty Decision-Making Laboratory, Sichuan University, Chengdu, 610064, P.R. China

    Jiuping Xu & Xiaoyang Zhou

  2. IGSB, Division of Business, University of South Australia, Adelaide, SA, 5001, Australia

    Steven Li

Authors
  1. Jiuping Xu
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  2. Xiaoyang Zhou
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  3. Steven Li
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Corresponding author

Correspondence to Jiuping Xu.

Additional information

Communicated by Kyung K. Choi.

This research was supported by the Key Program of NSFC (Grant No. 70831005) and the National Science Foundation for Distinguished Young Scholars, P.R. China (Grant No. 70425005).

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Xu, J., Zhou, X. & Li, S. A Class of Chance Constrained Multi-objective Portfolio Selection Model Under Fuzzy Random Environment. J Optim Theory Appl 150, 530–552 (2011). https://doi.org/10.1007/s10957-011-9852-0

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