A fuzzy goal programming approach to portfolio selection

Arenas-Parra, Mar; Bilbao-Terol, Amelia; Uría, María Victoria Rodríguez

doi:10.1016/s0377-2217(00)00298-8

Cited by 250 publications

(25 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The aspiration level is either determined by the DM or equals the fuzzy ideal solutionz Ã of (b-FP-MOLP) obtained using the solving method proposed by Arenas et al (1999).…”

Section: A Fuzzy Goal Programming Approachmentioning

confidence: 99%

See 1 more Smart Citation

A new approach of Romero’s extended lexicographic goal programming: fuzzy extended lexicographic goal programming

et al. 2009

View full text Add to dashboard Cite

Goal programming (GP) is perhaps one of the most widely used approaches in the field of multicriteria decision making. The major advantage of the GP model is its great flexibility which enables the decision maker to easily incorporate numerous variations on constraints and goals. Romero provides a general structure, extended lexicographic goal programming (ELGP) for GP and some multiobjective programming approaches. In this work, we propose the extension of this unifying framework to fuzzy multiobjective programming. Our extension is carried out by several methodologies developed by the authors in the fuzzy GP approach. An interval GP model has been constructed where the feasible set has been defined by means of a relationship between fuzzy numbers. We will apply this model to our fuzzy extended lexicographic goal programming (FELGP). The FELGP is a general primary structure with the same advantages as Romero's ELGP and moreover it has the capacity of working with imprecise information. An example is given in order to illustrate the proposed method.

show abstract

“…The aspiration level is either determined by the DM or equals the fuzzy ideal solutionz Ã of (b-FP-MOLP) obtained using the solving method proposed by Arenas et al (1999).…”

Section: A Fuzzy Goal Programming Approachmentioning

confidence: 99%

“…In order to solve an Interval GP we present the following definitions and results (Arenas et al 2001):…”

Section: A Fuzzy Goal Programming Approachmentioning

confidence: 99%

A new approach of Romero’s extended lexicographic goal programming: fuzzy extended lexicographic goal programming

et al. 2009

View full text Add to dashboard Cite

show abstract

“…With the introduction and development of fuzzy set theory, scholars began to study portfolio selection problem with fuzzy returns. The researches mainly focused on extending meanvariance selection idea to fuzzy environment and a variety of fuzzy mean-variance models have been developed (Arenas-Parra et al 2001;Bilbao-Terol et al 2006;Carlsson et al 2002;Tanaka et al 2000). In particular, Huang (2007aHuang ( , 2009 argued that credibility is a more suitable measure than possibility for a fuzzy event and proposed (Huang 2007a) two credibility-based fuzzy meanvariance models.…”

Section: Introductionmentioning

confidence: 99%

Minimax mean-variance models for fuzzy portfolio selection

Huang

2010

Soft Comput

View full text Add to dashboard Cite

This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linear programming ones are given in three special cases. In addition, a general solution algorithm is also provided. To help understand the modeling idea and to illustrate the effectiveness of the proposed algorithm, one example is presented.

show abstract

“…Researchers employed possibility theory. Much work was focused on extending Markowitz's mean-variance selection idea and a variety of fuzzy meanvariance models have been developed, e.g., Watada (1997), Tanaka and Guo (1999), Tanaka et al (2000), Arenas-Parra et al (2001), Carlsson et al (2002), Ida (2002), León et al (2002), Zhang and Nie (2004), Bilbao-Terol et al (2006), Lacagnina and Pecorella (2006), Zhang et al (2007) and Gupta et al (2008). In addition, Vercher et al (2007) presented a downside risk for fuzzy portfolio selection.…”

mentioning

confidence: 99%

A review of credibilistic portfolio selection

Huang

2009

Fuzzy Optim Decis Making

View full text Add to dashboard Cite

This paper reviews the credibilistic portfolio selection approaches which deal with fuzzy portfolio selection problem based on credibility measure. The reason for choosing credibility measure is given. Several mathematical definitions of risk of an investment in the portfolio are introduced. Some credibilistic portfolio selection models are presented, including mean-risk model, mean-variance model, mean-semivariance model, credibility maximization model, α-return maximization model, entropy optimization model and game models. A hybrid intelligent algorithm for solving the optimization models is documented. In addition, as extensions of credibilistic portfolio selection approaches, the paper also gives a brief review of some hybrid portfolio selection models.

show abstract

A fuzzy goal programming approach to portfolio selection

Cited by 250 publications

References 25 publications

A new approach of Romero’s extended lexicographic goal programming: fuzzy extended lexicographic goal programming

A new approach of Romero’s extended lexicographic goal programming: fuzzy extended lexicographic goal programming

Minimax mean-variance models for fuzzy portfolio selection

A review of credibilistic portfolio selection

Contact Info

Product

Resources

About