Document Type: Research Paper


1 School of Economics and Management, Beihang University, Beijing 100191, China

2 School of Reliability and Systems Engineering, Beihang University, Beijing 100191, China

3 Sinopec Management Institute, Beijing 100012, China


In this paper, we consider portfolio selection problem in which
security returns are regarded as fuzzy variables rather than random variables.
We first introduce a concept of absolute deviation for fuzzy variables and
prove some useful properties, which imply that absolute deviation may be
used to measure risk well. Then we propose two mean-absolute deviation
models by defining risk as absolute deviation to search for optimal portfolios.
Furthermore, we design a hybrid intelligent algorithm by integrating genetic
algorithm and fuzzy simulation to solve the proposed models. Finally, we
illustrate this approach with two numerical examples.


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