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An Uncertain Mean-Chance Model for International Portfolio Selection
Xiaoxia Huang, Xuting Wang, Xiaoguang Zhou
24 - 29
10.3233/978-1-61499-927-0-24
Frontiers in Artificial Intelligence and Applications
Volume 309: Fuzzy Systems and Data Mining IV
Abstract

In real international financial markets, the past data can't always effectively reflect the future and people must estimate the future values. In this paper the future security prices and foreign exchange rates are given by experts' evaluations rather than historical data. Regarding the future security prices and foreign exchange rates as uncertain variables we discusses an international portfolio selection. In the paper, an uncertain mean-chance model for international portfolio selection is proposed. The equivalent model is given. Finally, a numerical example is provided.

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