A Study on Portfolio Selection Based on Fuzzy Linear Programming

DOI10.1142/S021848852250009XMaRDI QIDQ5877182zbMATH OpenOpenAlexFDO

Authors Serkan Akbaş, Türkan Erbay Dalkılıç, Tuğba Gül Aksoy

Publication date 3 February 2023

Published in International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021848852250009x

zbMATH Keywords

linear programmingportfolio optimizationfuzzy logicS\&P 500ISE-30

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• A MULTICRITERIA DECISION SUPPORT SYSTEM FOR COMPETENCE-DRIVEN PROJECT PORTFOLIO SELECTION
• A benefit-to-cost ratio based approach for portfolio selection under multiple criteria with incomplete preference information
• A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
• A fuzzy portfolio selection model with background risk
• A mean-absolute deviation-skewness portfolio optimization model
• A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
• A portfolio optimization model based on information entropy and fuzzy time series
• A portfolio selection model using fuzzy returns
• A robust mean absolute deviation model for portfolio optimization
• Application of fuzzy measures and interval computation to financial portfolio selection
• Dynamic portfolio optimization with risk control for absolute deviation model
• Fuzzy programming and linear programming with several objective functions
• Fuzzy sets and systems. Theory and applications
• Mean-absolute deviation portfolio selection model with fuzzy returns
• Mean-risk model for uncertain portfolio selection
• Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints

Cited in

(1)

• Portfolio selection problem: a comparison of fuzzy goal programming and linear physical programming

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