Pustaka Ilmiah Universitas Padjadjaran

Abstrak

On Portfolio Optimization Using Fuzzy Decisions

We consider stochastic optimization problems involving stochastic dominance constraints. We develop portfolio optimization model involving stochastic dominance constrains using fuzzy decisions and we concentrate on fuzzy linear programming problems with only fuzzy technological coefficients and application/implementation of modified subgradient method to fuzy linear programming problems.

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