  This study first reviews fuzzy random Portfolio selection theory and
describes the concept of portfolio optimization model as a useful instrument
for helping finance practitioners and researchers. Second, this paper
specifically aims at applying possibility-based models for transforming the
fuzzy random variables to the linear programming. The harmony search algorithm
approaches to resolve the portfolio selection problem with the objective of
return maximization is applied. We provide a numerical example to illustrate
the proposed model. The results show that the evolutionary method of this paper
with harmony search algorithm, can consistently handle the practical portfolio
selection problem.
