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Solutions for the Portfolio Selection Problem with Interval and Fuzzy Coefficients

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Reliable Computing

Abstract

In this paper we consider portfolio selection problem with interval and fuzzy objective function coefficients as a kind of multiple objective problems including uncertainties. For this problem two kinds of efficient solutions are introduced: possibly efficient solution as an optimistic solution, necessarily efficient solution as a pessimistic solution. Investigating the properties of two efficiency conditions by means of preference cones and feasible region, we discuss that the two kinds of solutions can be identified with the sets of combinations of lower or upper bounds of intervals.

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Authors and Affiliations

  1. National Institution for Academic Degrees and University Evaluation, 1-29-1, Gakuen nishimachi, Kodaira, Tokyo, 187-8587, Japan, e-mail

    Masaaki Ida

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  1. Masaaki Ida
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Ida, M. Solutions for the Portfolio Selection Problem with Interval and Fuzzy Coefficients. Reliable Computing 10, 389–400 (2004). https://doi.org/10.1023/B:REOM.0000032120.83979.d4

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  • DOI: https://doi.org/10.1023/B:REOM.0000032120.83979.d4

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