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A fuzzy robust programming approach to multi-objective portfolio optimisation problem under uncertainty - MaRDI portal

A fuzzy robust programming approach to multi-objective portfolio optimisation problem under uncertainty

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Publication:2204567

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DOI10.1504/IJMOR.2018.088576zbMath1452.91289MaRDI QIDQ2204567

Publication date: 15 October 2020

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

zbMATH Keywords

possibilistic mean possibilistic variance robust optimisation fuzzy mathematical programming portfolio problem flexible constraints

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (2)

A possibilistic portfolio model with fuzzy liquidity constraint ⋮ A robust fuzzy approach for constrained multi-product economic production quantity with imperfect items and rework process

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