Possibility theory for multiobjective fuzzy random portfolio optimization
The problem of portfolio optimization is a standard problem in financial world and it has received tremendous attentions. Portfolio optimization plays essential role in determining portfolio strategies for investors. Portfolio optimization is intrinsically a discrete optimization problem whose decis...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2014-06-01
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| Series: | Decision Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/dsl/Vol3/dsl_2014_14.pdf |
| Summary: | The problem of portfolio optimization is a standard problem in financial world and it has received tremendous attentions. Portfolio optimization plays essential role in determining portfolio strategies for investors. Portfolio optimization is intrinsically a discrete optimization problem whose decision criteria are in conflict and the proposed study of this paper considers a portfolio optimization problem involving fuzzy random variables. To solve the proposed model, we first present the possibility and necessity-based model to reformulate the fuzzy random portfolio selection model into linear programming models and using the resulted linear programs, a multi-objective problem is constructed. To solve the multi-objective problem we propose some methods to consider decision makers’ optimistic and pessimistic views. A numerical example illustrates the whole idea on multiobjective fuzzy random portfolio optimization by possibility and necessity-based model. |
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| ISSN: | 1929-5804 1929-5812 |