Fuzzy portfolio optimization model based on worst-case VaR

摘要

It is of the most important problems in the finance investment field that how to choose a satisfactory portfolio causes the most efficient risk-return match. Because the different scholars research the risk from the different views so they understand the risk differently. This paper introduces the concept of the worst-case VaR in the double objective portfolio model and considers the expected returns and the fuzzy of risk and discusses the logistic membership function model. This paper regards the maximization of portfolio return and the minimization of worst-case VaR as its goal and sets up a new portfolio decision-making model based on the fuzzy multiple objective programming. The author uses the genetic algorithm to do the simulated computation and validates the efficiency of the model according to 8-stock return data of Shanghai security.