6533b7d4fe1ef96bd126326c

RESEARCH PRODUCT

A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

Valerio LacagninaA. Pecorella

subject

Mathematical optimizationLogicStochastic modellingmedia_common.quotation_subjectFuzzy setAmbiguityFuzzy control systemFuzzy logicStochastic programmingFuzzy optimization multistage stochastic programming portfolio managementArtificial IntelligencePortfolioProject portfolio managementMathematical economicsmedia_commonMathematics

description

The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper we develop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecision as well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressed to integrate stochastic and possibilistic programming.

yearjournalcountryeditionlanguage
2006-05-01
10.1016/j.fss.2005.10.002http://hdl.handle.net/10447/19157