Journal
2013 IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ - IEEE 2013)
Volume -, Issue -, Pages -Publisher
IEEE
Keywords
Quadratic programming problem; interval; order relation; portfolio selection; Risk
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In this paper, a quadratic programming model is considered, wherein all parameters and decision variables take values in intervals. Existence of optimal solution for this model with certain acceptable level is justified and a methodology is proposed to derive such a solution. Finally, the theoretical development is illustrated by means of an example of portfolio selection.
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