Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns

In this paper, we propose the solution method about the multiobjective portfolio selection problem, particularly the scenario model to include the ambiguous factors and chance constraints. Generally, mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find its global optimal solution. In this paper, we manage to develop the efficient solution method to find its global optimal solution of such a problem introducing the some subproblems.