Fuzzy and stochastic programming
Fuzzy Sets and Systems - Special Double issue Fuzzy Set Theory in the USSR
A mean-absolute deviation-skewness portfolio optimization model
Annals of Operations Research
Fuzzy Sets and Systems - Fuzzy mathematical programming
Portfolio selection based on fuzzy probabilities and possibility distributions
Fuzzy Sets and Systems
Theory and Practice of Uncertain Programming
Theory and Practice of Uncertain Programming
A possibilistic approach to selecting portfolios with highest utility score
Fuzzy Sets and Systems - Special issue: Soft decision analysis
Fuzzy portfolio optimization under downside risk measures
Fuzzy Sets and Systems
A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality
Information Sciences: an International Journal
Portfolio adjusting optimization under credibility measures
Journal of Computational and Applied Mathematics
Portfolio selection problems with normal mixture distributions including fuzziness
International Journal of Knowledge Engineering and Soft Data Paradigms
International Journal of Knowledge Engineering and Soft Data Paradigms
Mean-risk model for uncertain portfolio selection
Fuzzy Optimization and Decision Making
A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
Fuzzy Sets and Systems
A random fuzzy minimum spanning tree problem through a possibility-based value at risk model
Expert Systems with Applications: An International Journal
Random fuzzy multi-objective linear programming: Optimization of possibilistic value at risk (pVaR)
Expert Systems with Applications: An International Journal
Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
Information Sciences: an International Journal
Robust-based interactive portfolio selection problems with an uncertainty set of returns
Fuzzy Optimization and Decision Making
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This paper considers several portfolio selection problems including probabilistic future returns with ambiguous expected returns assumed as random fuzzy variables. Random fuzzy portfolio selection problems are formulated as nonlinear programming problems based on both stochastic and fuzzy programming approaches Since there is no efficient solution method to solve these problems directly, main problems are transformed into equivalent deterministic quadratic programming problems using probabilistic chance constraints, possibility measure and fuzzy goals, and their efficient solution methods to find a global optimal solution of each problem is constructed. Furthermore, numerical examples of portfolio selection problems are provided to illustrate our proposed models and solution methods compared with several previous basic models and to show that our proposed model is a versatile model to be applicable to various unexpected conditions.