PORTFOLIO OPTIMIZATION BASED ON FUZZY DECISION MAKING
基于模糊决策的投资组合优化

The business environment is full of uncertainties. Investing in various securities classes may lower the risk of overall portfolio and increase the potential for greater returns. At first, a minimax risk function is proposed to measure the risk of portfolio in the paper. Furthermore, we use fuzzy numbers to describe investors' vague aspiration levels for the excess return and risk and propose a fuzzy decision making model for portfolio selection problem. A numerical example is given to illustrate the behavior of the proposed model.