Viability of infeasible portfolio selection problems: A fuzzy approach
Viability of infeasible portfolio selection problems: A fuzzy approach
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DOI：
10.1016/s0377-2217(01)00175-8
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发表时间：
2002-05
期刊：
影响因子：
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通讯作者：
T. León;V. Liern;E. Vercher
中科院分区：
文献类型：
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作者：
T. León;V. Liern;E. Vercher
本文在风险-收益权衡的框架下讨论了投资组合管理的模糊优化方案。不同的模型共存，以选择最佳的投资组合，根据各自的目标函数，其中许多是线性约束。我们关注的是这种模式不可行的情况。这种不可行性，通常引起的期望回报和投资者提出的多样化要求之间的冲突，可以令人满意地避免使用模糊线性规划技术。我们提出了一个算法来修复不可行性，我们说明其性能的数值例子。
This paper deals with fuzzy optimization schemes for managing a portfolio in the framework of risk–return trade-off. Different models coexist to select the best portfolio according to their respective objective functions and many of them are linearly constrained. We are concerned with the infeasible instances of such models. This infeasibility, usually provoked by the conflict between the desired return and the diversification requirements proposed by the investor, can be satisfactorily avoided by using fuzzy linear programming techniques. We propose an algorithm to repair infeasibility and we illustrate its performance on a numerical example.