DocumentCode :
2309023
Title :
A parametric convex programming approach applied to portfolio pelection problems with fuzzy costs
Author :
Silva, Ricardo C. ; Verdegay, José L. ; Yamakami, Akebo
Author_Institution :
Dept. of Telematics, Univ. of Campinas, Campinas, Brazil
fYear :
2010
fDate :
18-23 July 2010
Firstpage :
1
Lastpage :
6
Abstract :
In this work we consider the portfolio selection problems with uncertainties as a kind of multiple objective problem with fuzzy costs in the objective functions. The portfolio selection problems can be classified as convex programming problems. Although convex programming problems are a special class of nonlinear programming, they can also be defined as a general linear programming problem. These problems are of utmost importance in a variety of relevant practical fields. In addition, since ambiguity and vagueness are natural and ever-present in real-life situations requiring solutions, it makes perfect sense to attempt to address them using fuzzy convex programming technique. This work presents a novel fuzzy set based method that solves a class of convex programming problems with vagueness costs in the objective functions. This method transforms a fuzzy convex multi-objective programming problem into a parametric convex multi-objective programming one. When obtain the efficient solutions of the transformed problem, they satisfy an aspiration level defined by a decision maker. This proposed method is applied in two portfolio selection numerical examples by using Latibex data of some Brazilian securities.
Keywords :
convex programming; costing; fuzzy set theory; fuzzy costs; fuzzy set; nonlinear programming; parametric convex programming; portfolio selection problems; Decision support systems; Linear programming; Portfolios; Programming; Security; Transforms; Uncertainty;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Fuzzy Systems (FUZZ), 2010 IEEE International Conference on
Conference_Location :
Barcelona
ISSN :
1098-7584
Print_ISBN :
978-1-4244-6919-2
Type :
conf
DOI :
10.1109/FUZZY.2010.5584441
Filename :
5584441
Link To Document :
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