Fuzzy portfolio optimization under downside risk measures
Fuzzy Sets and Systems
Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
Information Sciences: an International Journal
A class of possibilistic portfolio selection model with interval coefficients and its application
Fuzzy Optimization and Decision Making
Asset portfolio optimization using fuzzy mathematical programming
Information Sciences: an International Journal
Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting
Computers & Mathematics with Applications
Asymmetrical interval regression using extended ε -SVM with robust algorithm
Fuzzy Sets and Systems
Fuzzy portfolio selection problem under uncertain exit time
FUZZ-IEEE'09 Proceedings of the 18th international conference on Fuzzy Systems
Interval random dependent-chance programming and its application to portfolio selection
FUZZ-IEEE'09 Proceedings of the 18th international conference on Fuzzy Systems
Fuzzy genetic system for modelling investment portfolio
PRICAI'06 Proceedings of the 9th Pacific Rim international conference on Artificial intelligence
Fuzzy mean-variance-skewness portfolio selection models by interval analysis
Computers & Mathematics with Applications
A portfolio selection model using fuzzy returns
Fuzzy Optimization and Decision Making
A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
Fuzzy Sets and Systems
On interval portfolio selection problem
Fuzzy Optimization and Decision Making
Linear programming with rough interval coefficients
Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology
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This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to a linear interval programming model studied in the paper. The method is illustrated by solving a simplified portfolio selection problem.