This paper considers safety first models with respect to portfolio selection problems, particularly using the multi-scenario for the future return of each asset including ambiguity. Then, the fuzzy extensions for safety first models are proposed. These models are generally formulated as stochastic and fuzzy programming problems. Since they are not well-defined problems due to random and fuzzy variables and it is difficult to solve them directly and analytically, introducing the probability and possibility chance constraints, they are equivalently transformed into 0-1 mixed linear programming problems and the efficient solution methods are constructed. Furthermore, a numerical example of portfolio selection problem is provided to compare proposed models with the basic model.
|ジャーナル||International Journal of Innovative Computing, Information and Control|
|出版ステータス||Published - 2009 6 1|
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