Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns

被引：0
|
作者：
Hasuike, Takashi [1 ]
Ishii, Hiroaki [1 ]
机构：
[1] Osaka Univ, Grad Sch Informat Sci & Technol, 2-1 Yamadaoka, Suita, Osaka, Japan
来源：
THEORETICAL ADVANCES AND APPLICATIONS OF FUZZY LOGIC AND SOFT COMPUTING | 2007年 / 42卷
关键词：
portfolio selection problem; chance constraint; possibility and necessity measure; scenario model;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, we propose the solution method about the multiobjective portfolio selection problem, particularly the scenario model to include the ambiguous factors and chance constraints. Generally, mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find its global optimal solution. In this paper, we manage to develop the efficient solution method to find its global optimal solution of such a problem introducing the some subproblems.
引用
收藏
页码：314 / +
页数：3
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