A stochastic soft constraints fuzzy model for a portfolio selection problem

DOI10.1016/J.FSS.2005.10.002MaRDI QIDQ2492370zbMATH OpenOpenAlexFDO

Authors V. Lacagnina, A. Pecorella

Publication date 9 June 2006

Published in Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.fss.2005.10.002

zbMATH Keywords

stochastic programmingfuzzy programmingportfolio management

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

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• Applications of stochastic programming: Achievements and questions
• Comparison of methodologies for fuzzy and stochastic multi-objective programming
• DESCRIPTION AND OPTIMIZATION OF FUZZY SYSTEMS
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Duality and statistical tests of optimality for two stage stochastic programs
• On fuzzy stochastic optimization
• Optimisation under hybrid uncertainty
• Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
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Cited in

(22)

• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
• A cutting plane algorithm for MV portfolio selection model
• Fuzzy multi-period portfolio selection optimization models using multiple criteria
• Minimax mean-variance models for fuzzy portfolio selection
• Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
• On fuzzy portfolio selection problems
• Fuzzy portfolio selection using fuzzy analytic hierarchy process
• Credibilistic multi-period portfolio optimization based on scenario tree
• Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
• Value at risk methodology under soft conditions approach (fuzzy-stochastic approach)
• Asset portfolio optimization using fuzzy mathematical programming
• Weighted portfolio selection models based on possibility theory
• A possibilistic portfolio model with fuzzy liquidity constraint
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• A new perspective for optimal portfolio selection with random fuzzy returns
• A fuzzy portfolio selection method based on possibilistic mean and variance
• A review of credibilistic portfolio selection
• A risk index model for portfolio selection with returns subject to experts' estimations
• Mean-risk model for uncertain portfolio selection
• Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
• Fuzzy post-retirement financial concepts: an exploratory study
• Stochastic differential equations with imprecisely defined parameters in market analysis

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