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A Possibilistic Approach Mean Var Model For Portfolio Selection
A Possibilistic Approach Mean Var Model For Portfolio Selection
Sudradjat
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Inggris
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efficient solutions, expected-value efficiency, linear programming, optimization, portfolio, portfolio efficient, stochastic multi-objective programming
Sudradjat
Unpad
Inggris
Unpad
efficient solutions, expected-value efficiency, linear programming, optimization, portfolio, portfolio efficient, stochastic multi-objective programming
This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean VaR model was proposed for portfolio selection. Specially, a mathematical programming model with probabilistic constraints and we solve it by transforming this problem into a multiple objective linear programming problem. A numerical example is given to illustrate the behavior of the proposed model.
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