A stochastic soft constraints fuzzy model for a portfolio selection problem

被引：45

作者：

Lacagnina, V ^{[1
]}

Pecorella, A ^{[1
]}

机构：

[1] Univ Palermo, Dipartimento Sci Stat & Matemat Silvio Vianelli, I-90128 Palermo, Italy

来源：

FUZZY SETS AND SYSTEMS | 2006年 / 157卷 / 10期

关键词：

stochastic programming; fuzzy programming; portfolio management;

D O I：

10.1016/j.fss.2005.10.002

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper we develop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecision as well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressed to integrate stochastic and possibilistic programming. (C) 2005 Elsevier B.V. All rights reserved.

引用

页码：1317 / 1327

页数：11

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