POSSIBILISTIC OPTIMIZATION WITH APPLICATION TO PORTFOLIO SELECTION

被引：0

作者：

Popescu, Costin-Ciprian ^{[1
]}

Fulga, Cristinca ^{[1
]}

机构：

[1] Acad Econ Studies, Dept Math, Bucharest, Romania

来源：

PROCEEDINGS OF THE ROMANIAN ACADEMY SERIES A-MATHEMATICS PHYSICS TECHNICAL SCIENCES INFORMATION SCIENCE | 2011年 / 12卷 / 02期

关键词：

Fuzzy number; Possibilistic mean value; Linear programming; Portfolio selection; TRANSACTION COSTS; FUZZY NUMBERS;

D O I：

暂无

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This paper proposes a type of fuzzy numbers called superior-LR-piecewise (s-LR), whose theoretical properties are investigated. We also propose a chance constraint-type possibilistic programming model; the coefficients of the model are s-LR fuzzy numbers and a Value at Risk (VaR)-type s-LR parameter which controls the chances (in possibilistic terms) of obtaining unsatisfactory value of the objective function. The results obtained have a high degree of generality, but an immediate application may refer to the portfolio selection problem for which both modelling and solving aspects are discussed.

引用

页码：88 / 94

页数：7

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