Title of article :
Asset portfolio optimization using fuzzy mathematical programming
Author/Authors :
Pankaj Gupta، نويسنده , , Mukesh Kumar Mehlawat، نويسنده , , Anand Saxena، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
By morphing mean–variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors’ pursuing either of the aggressive or conservative strategies.
Keywords :
Semi-absolute deviation , Multi Criteria Decision Making , Fuzzy sets , Portfolio Selection , Fuzzy mathematical programming , Risk
Journal title :
Information Sciences
Journal title :
Information Sciences
