Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem

DOI10.1016/S0165-0114(98)00449-7zbMath0938.90074OpenAlexW2113688222WikidataQ127472198 ScholiaQ127472198MaRDI QIDQ1971864

Masahiro Inuiguchi, Jaroslav Ramík

Publication date: 27 June 2000

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

Full work available at URL: https://doi.org/10.1016/s0165-0114(98)00449-7

zbMATH Keywords

stochastic programming fuzzy linear programming simplex method necessity measure possibility measure fuzzy mathematical programming optimal portfolio selection fuzzy goal fuzzy constraint

Mathematics Subject Classification ID

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

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