Fuzzy Bi-Objective Linear Programming for Portfolio Selection Problem with Magnitude Ranking Function

被引：0

作者：

Kusumawati, Rosita ^{[1
]}

Subekti, Retno ^{[1
]}

机构：

[1] Yogyakarta State Univ, Math Educ Dept, Yogyakarta, Indonesia

来源：

4TH INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES (ICMS4): MATHEMATICAL SCIENCES: CHAMPIONING THE WAY IN A PROBLEM BASED AND DATA DRIVEN SOCIETY | 2017年 / 1830卷

关键词：

MODEL;

D O I：

10.1063/1.4980948

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Fuzzy bi-objective linear programming (FBOLP) model is bi-objective linear programming model in fuzzy number set where the coefficients of the equations are fuzzy number. This model is proposed to solve portfolio selection problem which generate an asset portfolio with the lowest risk and the highest expected return. FBOLP model with normal fuzzy numbers for risk and expected return of stocks is transformed into linear programming (LP) model using magnitude ranking function.

引用

页数：9

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