Chance-constrained Programming Model for Portfolio Selection in Uncertain Environment
نویسندگان
چکیده
منابع مشابه
Uncertain Chance-constrained Programming Model for Project Scheduling Problem
Project scheduling problem is to determine the schedule of allocating the loans to a project in order to balance the total cost and the completion time of the project under some constraints. This paper considers project scheduling problem in an uncertain environment, of which the duration time of each activity is an uncertain variable. Then uncertain chance-constrained programming model is cons...
متن کاملSOME PROPERTIES FOR FUZZY CHANCE CONSTRAINED PROGRAMMING
Convexity theory and duality theory are important issues in math- ematical programming. Within the framework of credibility theory, this paper rst introduces the concept of convex fuzzy variables and some basic criteria. Furthermore, a convexity theorem for fuzzy chance constrained programming is proved by adding some convexity conditions on the objective and constraint functions. Finally,...
متن کاملChance-constrained Portfolio Selection with Birandom Returns
The aim of this paper is to solve the portfolio problem when security returns are birandom variables. Two types of portfolio selection based on chance measure are provided according to birandom theory. Since the proposed optimization problems are difficult to solve by traditional methods, a hybrid intelligent algorithm by integrating birandom simulation and genetic algorithm is designed. Finall...
متن کاملA Fuzzy Goal Programming Model for Efficient Portfolio Selection.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...
متن کاملsome properties for fuzzy chance constrained programming
convexity theory and duality theory are important issues in math- ematical programming. within the framework of credibility theory, this paper rst introduces the concept of convex fuzzy variables and some basic criteria. furthermore, a convexity theorem for fuzzy chance constrained programming is proved by adding some convexity conditions on the objective and constraint functions. finally,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Modern Applied Science
سال: 2009
ISSN: 1913-1852,1913-1844
DOI: 10.5539/mas.v3n10p89