Abstract
A new portfolio optimization model with triangular fuzzy numbers is proposed in this paper. The objective function is considered as maximizing fuzzy expected return of securities under the constraint that the risk will not be greater than a preset tolerable fuzzy number, where the expected return and risk of securities are described as triangular fuzzy numbers. By using the method of dominance possibility criterion, the portfolio optimization model is converted into its equivalent crisp linear programming problem. Finally an example is presented to illustrate the effectiveness of the proposed algorithm.
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Li, C., Jin, J. (2011). Fuzzy Portfolio Optimization Model with Fuzzy Numbers. In: Li, S., Wang, X., Okazaki, Y., Kawabe, J., Murofushi, T., Guan, L. (eds) Nonlinear Mathematics for Uncertainty and its Applications. Advances in Intelligent and Soft Computing, vol 100. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22833-9_68
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DOI: https://doi.org/10.1007/978-3-642-22833-9_68
Publisher Name: Springer, Berlin, Heidelberg
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