6533b7d9fe1ef96bd126c115

RESEARCH PRODUCT

Fuzzy Mathematical Programming for Portfolio Management

Enriqueta VercherTeresa LeónVicente Liern

subject

Rate of return on a portfolioMathematical optimizationPortfolioFuzzy numberVariance (accounting)Quadratic programmingDecision problemProject portfolio managementMembership functionMathematics

description

The classical portfolio selection problem was formulated by Markowitz in the 1950s as a quadratic programming problem in which the risk variance is minimized. Since then, many other models have been considered and their associated mathematical programming formulations can be viewed as dynamic, stochastic or static decision problems. In our opinion, the model formulation depends essentially on two factors: the data nature and the treatment given to the risk and return goals. In this communication, we consider several approaches to deal with the data uncertainty for different classical formulations of the portfolio problem. We make use of duality theory and fuzzy programming techniques to analyze the solutions provided by these approaches and to repair infeasible instances.

yearjournalcountryeditionlanguage
2000-01-01
https://doi.org/10.1007/978-3-642-57652-2_17