A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming | IEEE Conference Publication | IEEE Xplore

A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming


Abstract:

This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this propose...Show More

Abstract:

This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity of the deterministic equivalent problem and the interval programming problem, the efficient solution is constructed. In order to compare the proposed model with previous standard models, a numerical example derived from the current stock market is provided.
Date of Conference: 20-24 August 2009
Date Added to IEEE Xplore: 02 October 2009
ISBN Information:
Print ISSN: 1098-7584
Conference Location: Jeju, Korea (South)

References

References is not available for this document.