A class of chance constrained multi-objective portfolio selection model under fuzzy random environment

DOI10.1007/s10957-011-9852-0zbMath1233.91253MaRDI QIDQ650216

Steven Li, Xiaoyang Zhou, Jiu-Ping Xu

Publication date: 25 November 2011

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-011-9852-0

zbMATH Keywords

portfolio selection; fuzzy random variable; chance constraint; \(\varepsilon \)-constraint method; Chinese stock market

Mathematics Subject Classification ID

90C29: Multi-objective and goal programming

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91G10: Portfolio theory

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