A Study on Fuzzy Random Portfolio Selection Problems Based on Possibility and Necessity Measures
نویسندگان
چکیده
This paper incorporates fuzzy random variables with a portfolio selection problem based on the single index model. The rate of return on each investment can be represented with a fuzzy random variable. A novel decision-making model based both on possibilistic programming and on stochastic programming. It is shown that the formulated problem is transformed into the deterministic equivalent nonlinear programming problem. The deterministic problem is solved by utilizing the property that the problem is regarded as a convex programming problem including a parameter.
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