A fuzzy random multi-objective approach for portfolio selection
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Abstract:
In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the preferred solution. Finally a numerical example is presented to illustrate the proposed model.
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Journal title
volume 7 issue 13
pages 12- 21
publication date 2011-03-01
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