Fuzzy Portfolio Selection Model Using Linear Programming

被引：0
|
作者：
Menekay, Mustafa [1 ]
机构：
[1] Near East Univ, Dept Int Business, TRNC, Mersin 10, Nicosia, Turkey
来源：
13TH INTERNATIONAL CONFERENCE ON THEORY AND APPLICATION OF FUZZY SYSTEMS AND SOFT COMPUTING - ICAFS-2018 | 2019年 / 896卷
关键词：
Fuzzy portfolio; Linear programming; OPTIMIZATION;
D O I：
10.1007/978-3-030-04164-9_79
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper development of crisp and fuzzy portfolio models using linear programming. Using Lagrange multiplier method the solution of linear programming is carried out. As a input data past gains of assets and values of expect gains are taken. The portfolio selection model, in the form of linear programming, based on the values of expected gains and the variance of securities is formulated. The gradient method is connected to discover weights values of assets. The a level method and interim number arithmetic is utilized to take care of fuzzy enhancement issue and locate the ideal fuzzy estimations of the securities.
引用
收藏
页码：602 / 608
页数：7
相关论文
共 50 条
  • [31] CREDIBILITY-BASED FUZZY MATHEMATICAL PROGRAMMING MODEL FOR PORTFOLIO SELECTION UNDER UNCERTAINTY
    Mehlawat, Mukesh Kumar
    Gupta, Pankaj
    INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, 2014, 13 (01) : 101 - 135
  • [32] A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem
    Bilbao-Terol, Amelia
    Arenas-Parra, Mar
    Canal-Fernandez, Vernica
    Jimenez, Mariano
    JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2016, 67 (10) : 1259 - 1273
  • [33] Stochastic programming model for the selection of an optimal portfolio
    Vakriniene, Sigute
    Pabedinskaite, Arnoldina
    9TH INTERNATIONAL CONFERENCE: MODERN BUILDING MATERIALS, STRUCTURES AND TECHNIQUES, VOLS 1-3, 2008, : 414 - +
  • [34] No arbitrage and a linear portfolio selection model
    Bruni, Renato
    Cesarone, Francesco
    Scozzari, Andrea
    Tardella, Fabio
    ECONOMICS BULLETIN, 2013, 33 (02): : 1247 - 1258
  • [35] The resolution of excess investment in Fuzzy portfolio selection using piecewise linear function
    Huang, Yin-Yin
    Ma, Tongxia
    Pan, Jingchao
    Tsaur, Ruey-Chyn
    APPLIED MATHEMATICS IN SCIENCE AND ENGINEERING, 2024, 32 (01):
  • [36] Optimizing fuzzy portfolio selection problems by parametric quadratic programming
    Wu, Xiao-Li
    Liu, Yan-Kui
    FUZZY OPTIMIZATION AND DECISION MAKING, 2012, 11 (04) : 411 - 449
  • [37] Optimizing fuzzy portfolio selection problems by parametric quadratic programming
    Xiao-Li Wu
    Yan-Kui Liu
    Fuzzy Optimization and Decision Making, 2012, 11 : 411 - 449
  • [38] A SELECTION PORTFOLIO PROBLEM WITH FUZZY LINEAR EXPONENTIAL DISTRIBUTION
    Marinescu, Ilie
    Stancu-Minasian, Ioan M.
    MATHEMATICAL REPORTS, 2011, 13 (04): : 347 - 362
  • [39] Allocation and selection of equipment for concrete works using fuzzy linear programming
    Duran, Abel
    Prascevic, Natasa
    GRADEVNSKI MATERIJIALI I KONSTRUKCIJE-BUILDING MATERIALS AND STRUCTURES, 2021, 64 (03): : 195 - 199
  • [40] Model Selection by Linear Programming
    Wang, Joseph
    Bolukbasi, Tolga
    Trapeznikov, Kirill
    Saligrama, Venkatesh
    COMPUTER VISION - ECCV 2014, PT II, 2014, 8690 : 647 - 662
12345