Fuzzy portfolio selection and its applications to decision making. (English) Zbl 0915.90008

New methodologies of fuzzy portfolio and their applications to decision making are discussed. Especially, fuzzy mathematical programming based on a vague aspiration level given by a decision maker is examined. The fuzzy portfolio selection enables to obtain a solution which realizes the best within a vague aspiration level and a fuzzy goal given as fuzzy number, which is obtained from the expertise of decision makers. The text has been used for a tutorial at the world IFSA Congress 1997 in Prague and contains a complete set of references (41 items).


91G10 Portfolio theory
90C70 Fuzzy and other nonstochastic uncertainty mathematical programming