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On portfolio optimization using fuzzy decisions
Author(s) -
Sudradjat Supian,
Preda Vasile
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200701037
Subject(s) - subgradient method , mathematical optimization , fuzzy logic , stochastic programming , stochastic dominance , portfolio optimization , portfolio , stochastic optimization , linear programming , computer science , mathematics , economics , artificial intelligence , financial economics
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 aplication/implementation of modified subgradient method to fuzy linear programming problems. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)