期刊
INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
卷 13, 期 1, 页码 101-135出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219622014500059
关键词
Fuzzy portfolio selection; fuzzy mathematical programming; credibility theory; uncertainty; multiple objective optimization
类别
资金
- University Grants Commission, New Delhi, India
In this paper, we develop a hybrid bi-objective credibility-based fuzzy mathematical programming model for portfolio selection under fuzzy environment. To deal with imprecise parameters, we use a hybrid credibility-based approach that combines the expected value and chance constrained programming techniques. The model simultaneously maximizes the portfolio return and minimizes the portfolio risk. We also consider an additional important criterion, namely, portfolio liquidity as a constraint in the model to make it better suited for practical applications. The proposed fuzzy optimization model is solved using a two-phase approach. An empirical study is included to demonstrate applicability of the proposed model and the solution approach in real-world applications of portfolio selection.
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