Viability of infeasible portfolio selection problems: A fuzzy approach

Viability of infeasible portfolio selection problems: A fuzzy approach

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Article ID: iaor20022856
Country: Netherlands
Volume: 139
Issue: 1
Start Page Number: 178
End Page Number: 189
Publication Date: May 2002
Journal: European Journal of Operational Research
Authors: , ,
Keywords: fuzzy sets, programming: mathematical
Abstract:

This paper deals with fuzzy optimization schemes for managing a portfolio in the framework of risk–return trade-off. Different models coexist to select the best portfolio according to their respective objective functions and many of them are linearly constrained. We are concerned with the infeasible instances of such models. This infeasibility, usually provoked by the conflict between the desired return and the diversification requirements proposed by the investor, can be satisfactorily avoided by using fuzzy linear programming techniques. We propose an algorithm to repair infeasibility and we illustrate its performane on a numerical example.

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