Fuzzy Portfolio Selection Model Using Linear Programming

被引：0
|
作者：
Menekay, Mustafa [1 ]
机构：
[1] Near East Univ, Dept Int Business, TRNC, Mersin 10, Nicosia, Turkey
来源：
13TH INTERNATIONAL CONFERENCE ON THEORY AND APPLICATION OF FUZZY SYSTEMS AND SOFT COMPUTING - ICAFS-2018 | 2019年 / 896卷
关键词：
Fuzzy portfolio; Linear programming; OPTIMIZATION;
D O I：
10.1007/978-3-030-04164-9_79
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper development of crisp and fuzzy portfolio models using linear programming. Using Lagrange multiplier method the solution of linear programming is carried out. As a input data past gains of assets and values of expect gains are taken. The portfolio selection model, in the form of linear programming, based on the values of expected gains and the variance of securities is formulated. The gradient method is connected to discover weights values of assets. The a level method and interim number arithmetic is utilized to take care of fuzzy enhancement issue and locate the ideal fuzzy estimations of the securities.
引用
收藏
页码：602 / 608
页数：7
相关论文
共 50 条
  • [31] Investment Portfolio Selection Based on the Fuzzy "New Distance" Model
    He Honglei
    Zhu Yongming
    PROCEEDINGS OF THE 15TH INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS A-C, 2008, : 1955 - 1957
  • [32] Multiobjective expected value model for portfolio selection in fuzzy environment
    Gupta, Pankaj
    Mittal, Garima
    Mehlawat, Mukesh Kumar
    OPTIMIZATION LETTERS, 2013, 7 (08) : 1765 - 1791
  • [33] Fuzzy Views on Black-Litterman Portfolio Selection Model
    Fang, Yong
    Bo, Lin
    Zhao, Daping
    Wang, Shouyang
    JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2018, 31 (04) : 975 - 987
  • [34] Fuzzy linear programming using a penalty method
    Jamison, KD
    Lodwick, WA
    FUZZY SETS AND SYSTEMS, 2001, 119 (01) : 97 - 110
  • [35] OPTIMIZING THE PRESSURIZED IRRIGATION NETWORKS USING FUZZY LINEAR AND DYNAMIC PROGRAMMING
    Chondrogiannis, S.
    Tzimopoulos, C.
    Evangelides, C.
    PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON ENVIRONMENTAL SCIENCE AND TECHNOLOGY, 2013,
  • [36] Supplier selection and order allocation based on fuzzy SWOT analysis and fuzzy linear programming
    Amin, Saman Hassanzadeh
    Razmi, Jafar
    Zhang, Guoqing
    EXPERT SYSTEMS WITH APPLICATIONS, 2011, 38 (01) : 334 - 342
  • [37] Train re-scheduling based on an improved fuzzy linear programming model
    Meng, Xuelei
    Jia, Limin
    Xiang, Wanli
    Xu, Jie
    KYBERNETES, 2015, 44 (10) : 1472 - 1503
  • [38] Mean-variance-skewness model for portfolio selection with fuzzy returns
    Li, Xiang
    Qin, Zhongfeng
    Kar, Samarjit
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 202 (01) : 239 - 247
  • [39] Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
    Gupta, Pankaj
    Inuiguchi, Masahiro
    Mehlawat, Mukesh Kumar
    Mittal, Garima
    INFORMATION SCIENCES, 2013, 229 : 1 - 17
  • [40] Decision Making of a Portfolio Selection Model Based on Fuzzy Statistic Test
    Lin, Pei-Chun
    Watada, Junzo
    Wu, Berlin
    6TH INTERNATIONAL CONFERENCE ON SOFT COMPUTING AND INTELLIGENT SYSTEMS, AND THE 13TH INTERNATIONAL SYMPOSIUM ON ADVANCED INTELLIGENT SYSTEMS, 2012, : 1931 - 1937
12345