کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4633314 1340667 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A cutting plane algorithm for MV portfolio selection model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
A cutting plane algorithm for MV portfolio selection model
چکیده انگلیسی
This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean variance (FMVC) portfolio selection model was proposed. The possibilistic programming problem can be transformed into a linear optimal problem with an additional quadratic constraint by possibilistic theory. For such problems there are no special standard algorithms. We propose a cutting plane algorithm to solve (FMVC). The nonlinear programming problem can be solved by sequence linear programming problem. A numerical example is given to illustrate the behavior of the proposed model and algorithm.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 215, Issue 4, 15 October 2009, Pages 1456-1462
نویسندگان
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