Robust Portfolio Selection Problems Including Uncertainty Factors

This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, since it is difficult to solve them analytically and efficiently due to nonlinear programming problems, the solution method is constructed introducing a parameter and doing the equivalent transformations.