Intuitionistic Fuzzy Multi-objective Portfolio Decision-making for Securities
In order to deal with security portfolio problem with intuitionistic fuzzy return,intuitionistic fuzzy number is used to assess the uncertain return of security and employs intuitionistic fuzzy mean and variance to measure portfolio return and risk respectively firstly.A new intuitionistic fuzzy portfolio decision model is constructed with multiple objectives such as maximizing portfolio return,minimizing risk and information entropy.Then,by using a linear weighting method,the complex model is transformed into a single-objective model for solving the optimal strategy.Finally,the effectiveness of the portfolio method is demonstrated by a real stock investment numerical example,and the optimal portfolio strategy can be adjusted according to the different goal preferences of investors.
万方数据
维普
