Asset portfolio optimization using fuzzy mathematical programming
نویسندگان
چکیده
By morphing mean–variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors’ pursuing either of the aggressive or conservative strategies. 2007 Elsevier Inc. All rights reserved.
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ورودعنوان ژورنال:
- Inf. Sci.
دوره 178 شماره
صفحات -
تاریخ انتشار 2008