In this paper, we propose several mathematical models with respect to portfolio selection problems, particularly using the scenario model including the ambiguous factors. These mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find the global optimal solution for those problems. We manage to develop an efficient solution method to find the global optimal solution of such a nonlinear programming problem. Furthermore, a numerical example of the portfolio selection problem is given to compare our proposal models with previous standard fuzzy portfolio models.
|ジャーナル||Asia Pacific Management Review|
|出版ステータス||Published - 2009 9月|
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