关键词: 可信性测度, 破产风险, 多项目投资组合, 遗传算法

Abstract: The premise of the expected returns for investors is the investment decision does not lead to bankruptcy. So controlling the probability of bankruptcy is essential. According to the credibility measure theory and the Roy's definition, we obtain the mathematic equation of bankruptcy risk control when the future cash flow is being the fuzzy variables. Under the effect of the bankruptcy factors in the investment process, we propose a multi-project portfolio decision model with bankruptcy risk control. Finally, we use the genetic algorithm to solve our proposed model, and a numerical example of project portfolio is given to illustrate the feasibility and the effectiveness of the proposed approaches.

Key words: credibility measure, bankruptcy risk, multi-project portfolio, genetic algorithm