A simulated annealing algorithm for fuzzy portfolio selection using credibility approach

Savings of individuals play a crucial role in financial security of necessary investments for economic growth and development of the country. In countries, following the development of capital market and at the top, stock market, the stocks of the accepted companies form the main part of investors' assets. In this paper, we are going to consider the problem of Portfolio selection when security returns may not be predicted from the previous data; aiming at providing a model for portfolio selection which satisfies the investor's needs in the best way. For this reason, the solution of meta-heuristic for a model with fuzzy returns by considering credibility as a definition of risk was proposed

Keywords:

Security return , risk , portfolio selection , credibility , capital market , simulated annealing