A stochastic soft constraints fuzzy model for a portfolio selection problem

Fuzzy Sets and Systems

Volumn 157, Issue 10, 2006, Pages 1317-1327

  Lacagnina, V ^a   Pecorella, A ^a  

^a UNIVERSITY OF PALERMO   (Italy)

Author keywords

Fuzzy programming; Portfolio management; Stochastic programming

Indexed keywords

CONSTRAINT THEORY; MATHEMATICAL MODELS; PROBABILISTIC LOGICS; PROBLEM SOLVING; RANDOM PROCESSES; STOCHASTIC PROGRAMMING;

FUZZY PROGRAMMING; PORTFOLIO MANAGEMENT; STOCHASTIC SOFT CONSTRAINTS FUZZY MODEL;

FUZZY SETS;

EID: 33645829502     PISSN: 01650114     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.fss.2005.10.002     Document Type: Article

References (20)

1. Birge J.R. Decomposition and partitioning methods for multistage stochastic linear programs. Oper. Res. 33 5 (1985) 989-1007
2. G.B. Dantzig, A. Madansky, On the solution of two-stage linear programs under uncertainty, Proc. Fourth Symp. on Mathematical Statistics and Probability, vol. 1, 1961, pp. 165-176.
3. Dupačová J. Applications of stochastic programming: achievements and questions. European J. Oper. Res. 140 (2002) 281-290
4. Golub B., Holmer M., McKendall R., Pohlman L., and Zenios S. A stochastic programming model for money management. European J. Oper. Res. 85 (1995) 282-296
5. Higle J.L., and Sen S. Duality and statistical tests of optimality for two stage stochastic programs. Math. Programming 75 (1996) 257-275
6. Hogan A.J., Morris J.G., and Thompson H.E. Decision problems under risk and change constrained programming: dilemmas in the transition. Management Sci. 27 6 (1981)
7. M. Inuiguchi, J. Ramík, Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem, Fuzzy Sets and Systems (111) (2000) 3-28.
8. M. Inuiguchi, M. Sakawa, A possibilistic linear program is equivalent to a stochastic linear program in a special case, Fuzzy Sets and Systems (76) (1995) 309-317.
9. Kusy M.I., and Ziemba W.T. A bank asset and liability management model. Oper. Res. 34 3 (1986) 356-376
10. Luhandjula M.K. Optimisation under hybrid uncertainty. Fuzzy Sets and Systems 146 2 (2004) 187-203
11. Luhandjula M.K., and Gupta M.M. On fuzzy stochastic optimization. Fuzzy Sets and Systems 81 1 (1996) 47-55
12. N. Mincoff, D. Takova, A fuzzy programming model for bank assets and liabilities management, XIVth Meeting of the EURO WG on Financial Modelling, 1993.
13. Negoita C.V., and Sularia M. On fuzzy programming and tolerances in planning. Econom. Comput. Econom. Cybernet. Stud. Res. 1 (1976) 3-15
14. H. Rommelfanger, R. Slowiński, Fuzzy sets in decision analysis, operations research and statistics, Fuzzy linear programming with single or multiple objective functions, The Handbooks of Fuzzy Sets Series, Kluwer Academic Publishers, Dordrecht, 1998, pp. 179-207 (Chapter 6).
15. Roubens M., and Teghem Jr. J. Comparison of methodologies for fuzzy and stochastic multi-objective programming. Fuzzy Sets and Systems 42 1 (1991) 119-132
16. M.F. Shipley, A. De Korvin, K. Omer, A fuzzy logic approach for determining expected values: a project management application, J. Oper. Res. Soc. (47) (1996) 562-569.
17. Tarrazo M. An application of fuzzy set theory to the individual investor problem. Financial Services Rev. 6 2 (1997) 97-107
18. Walkup D.W., and Wets R.J.B. Stochastic programs with recourse. SIAM J. Appl. Math. 15 5 (1967) 1299-1314
19. Zimmermann H.J. Description and optimization of fuzzy systems. Internat. J. Gen. Systems 2 (1976) 209-215
20. Zimmermann H.J. Fuzzy Set Theory and Its Applications. second ed. (1991), Kluwer Academic Publishers, Dordrecht