Issue: 2003/Vol.13/No.4, Pages 149-165
BICRITERIAL FUZZY PORTFOLIO SELECTION
Paweł Sewastianow
, Monika Jończyk
Cite as: P. Sewastianow, M. Jończyk. Bicriterial fuzzy portfolio selection. Operations Research and Decisions 2003: 13(4), 149-165.
Abstract
A solution of the portfolio selection problem, presented as a nonlinear fuzzy bicriterial task, has been analyzed. For the purpose of solving this problem, a special numerical algorithm has been elaborated. It is shown that using bicriterial portfolio problem formulation all the results obtained with application of usual (with a single criterion) methods can be gained as special cases. The authors use the approaches proposed by Stefan Chanas to solve the problems of linear programming with interval and fuzzy coefficients, being inspired by his significant contribution to this domain.
Keywords: fuzzy portfolio selection, linear programming, interval coefficient, fuzzy coefficient
Received: Accepted: