A stochastic soft constraints fuzzy model for a portfolio selection problem

Authors:
V. Lacagnina;A. Pecorella
Affiliations:
Dipartimento di Scienze Statistiche e Matematiche “Silvio Vianelli”, Università di Palermo, Viale delle Scienze - 90128 Palermo, Italy;Dipartimento di Scienze Statistiche e Matematiche “Silvio Vianelli”, Università di Palermo, Viale delle Scienze - 90128 Palermo, Italy
Venue:
Fuzzy Sets and Systems
Year:
2006

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Abstract

The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper we develop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecision as well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressed to integrate stochastic and possibilistic programming.