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RESEARCH PRODUCT
Viability of infeasible portfolio selection problems: A fuzzy approach
Vicente LiernEnriqueta VercherTeresa Leónsubject
Mathematical optimizationInformation Systems and ManagementFuzzy classificationGeneral Computer ScienceNeuro-fuzzyFuzzy setManagement Science and Operations ResearchFuzzy logicDefuzzificationIndustrial and Manufacturing EngineeringFuzzy transportationModeling and SimulationEconomicsFuzzy numberFuzzy set operationsdescription
Abstract This paper deals with fuzzy optimization schemes for managing a portfolio in the framework of risk–return trade-off. Different models coexist to select the best portfolio according to their respective objective functions and many of them are linearly constrained. We are concerned with the infeasible instances of such models. This infeasibility, usually provoked by the conflict between the desired return and the diversification requirements proposed by the investor, can be satisfactorily avoided by using fuzzy linear programming techniques. We propose an algorithm to repair infeasibility and we illustrate its performance on a numerical example.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2002-05-01 | European Journal of Operational Research |