Optimizing fuzzy portfolio selection problems by parametric quadratic programming

This paper develops a robust method to describe fuzzy returns by employing parametric possibility distributions. The parametric possibility distributions are obtained by equivalent value (EV) reduction methods. For common type-2 triangular and trapezoidal fuzzy variables, their reduced fuzzy variabl...

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Bibliographic Details
Published in:	Fuzzy optimization and decision making Vol. 11; no. 4; pp. 411 - 449
Main Authors:	Wu, Xiao-Li, Liu, Yan-Kui
Format:	Journal Article
Language:	English
Published:	Boston Springer US 01.12.2012 Springer Science + Business Media B.V Springer Nature B.V
Subjects:	Artificial Intelligence Calculus of Variations and Optimal Control; Optimization Credibility Decision making Equivalence Expected values Fuzzy Fuzzy logic Fuzzy set theory Fuzzy sets Integrals Mathematical analysis Mathematical Logic and Foundations Mathematical models Mathematics Mathematics and Statistics Methods Operations Research/Decision Theory Optimization Portfolio management Probability Theory and Stochastic Processes Quadratic programming Random variables Representations Studies Parametric possibility distribution Portfolio selection Moment Parametric programming Reduced fuzzy variable
ISSN:	1568-4539, 1573-2908
Online Access:	Get full text
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