Asset portfolio optimization using fuzzy mathematical programming

被引：129

作者：

Gupta, Pankaj ^{[1
]}

Mehlawat, Mukesh Kumar ^{[1
]}

Saxena, Anand ^{[2
]}

机构：

[1] Univ Delhi, Dept Operat Res, Delhi 110007, India

[2] Univ Delhi, Deen Dayal Upadhyaya Coll, Dept Commerce, Delhi 110007, India

来源：

INFORMATION SCIENCES | 2008年 / 178卷 / 06期

关键词：

fuzzy sets; portfolio selection; fuzzy mathematical programming; risk; semi-absolute deviation; multi criteria decision making;

D O I：

10.1016/j.ins.2007.10.025

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

By morphing mean-variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors' pursuing either of the aggressive or conservative strategies. (c) 2007 Elsevier Inc. All rights reserved.

引用

页码：1734 / 1755

页数：22

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