Viability of infeasible portfolio selection problems: A fuzzy approach

European Journal of Operational Research

Volumn 139, Issue 1, 2002, Pages 178-189

  Leon T ^a   Liern, V ^a   Vercher, E ^a  

^a UNIVERSITY OF VALENCIA   (Spain)

Author keywords

Finance; Fuzzy sets; Mathematical programming; Portfolio selection

Indexed keywords

ALGORITHMS; FUZZY SETS; LINEAR PROGRAMMING; MATHEMATICAL MODELS; OPTIMIZATION;

PORTFOLIO SELECTION;

OPERATIONS RESEARCH;

EID: 0037118178     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(01)00175-8     Document Type: Article

References (22)

1. Feasibility and viability
2. Goal programming models and their duality relations for use in evaluating security portfolio and regression relations
3. Notes: A reformulation of a mean-absolute deviation portfolio optimization model
4. Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochatic programming in portfolio selection problem
5. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
6. Portfolio optimization problem under concave transaction costs and minimal transactions unit constraints
7. Fuzzy methods and infeasible linear programs: An application to staff design problems
8. A fuzzy method to repair infeasibility in linearly constrained problems
9. Two fuzzy approaches for solving multiobjective decision problems
10. On fuzzy mathematical programming and tolerances in planning
11. A simplified model for portfolio analysis
12. Linear programming model for portfolio optimization
13. Portfolio selection based on upper and lower exponential possibility distributions
14. Possibilistic data analysis and its application to portfolio selection problems
15. Fuzzy portfolio selection and its applications to decision making
16. Mean-absolute deviation portfolio optimization for mortgage-backed securities