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On Fuzzy Portfolio Selection Problems: A Parametric Representation Approach

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  • Omid Solaymani Fard
  • Mohadeseh Ramezanzadeh

Abstract

Fuzzy portfolio selection problem is a major issue in the financial field and a special case of constrained fuzzy-valued optimization problems (CFOPs). In this respect, the present paper aims to investigate the CFOP with regard to the features of the parametric representation of fuzzy numbers named as convex constraint function (CCF) which is proposed by Chalco-Cano et al. in 2014. Furthermore, relying on this parametric representation, some proper conditions are provided for the existence of solutions to a CFOP. To this end, by the increasing representation of CCF, the main problem is converted to a parametric multiobjective programming problem and some solution concepts from a similar framework in the multiobjective programming are proposed for the CFOP. Eventually to illustrate the proposed results, the fuzzy portfolio selection problem is discussed.

Suggested Citation

  • Omid Solaymani Fard & Mohadeseh Ramezanzadeh, 2017. "On Fuzzy Portfolio Selection Problems: A Parametric Representation Approach," Complexity, Hindawi, vol. 2017, pages 1-12, September.
    • Handle: RePEc:hin:complx:9317924
    DOI: 10.1155/2017/9317924
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    References listed on IDEAS

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    1. A. Bhurjee & G. Panda, 2012. "Efficient solution of interval optimization problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(3), pages 273-288, December.
    2. Barnab?s Bede & Luciano Stefanini, 2012. "Generalized Differentiability of Fuzzy-valued Functions," Working Papers 1209, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2012.
    3. Editors, 2014. "International Journal of Systems Science," International Journal of Systems Science, Taylor & Francis Journals, vol. 45(12), pages 1-1, December.
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    Cited by:

    1. Yuxuan Gao & Yueping Du & Haiming Liang & Bingzhen Sun, 2018. "Large Group Decision-Making Approach Based on Stochastic MULTIMOORA: An Application of Doctor Evaluation in Healthcare Service," Complexity, Hindawi, vol. 2018, pages 1-13, November.

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