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**Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem.**
*(English)*
Zbl 0938.90074

Summary: The authors review some fuzzy linear programming methods and techniques from a practical point of view. In the first part, the general history and the approach of fuzzy mathematical programming are introduced. Using a numerical example, some models of fuzzy linear programming are described. In the second part of the paper, fuzzy mathematical programming approaches are compared to stochastic programming ones. The advantages and disadvantages of fuzzy mathematical programming approaches are exemplified in the setting of an optimal portfolio selection problem. Finally, some newly developed ideas and techniques in fuzzy mathematical programming are briefly reviewed.

### MSC:

90C70 | Fuzzy and other nonstochastic uncertainty mathematical programming |

90C15 | Stochastic programming |

91G10 | Portfolio theory |

### Keywords:

fuzzy constraint; fuzzy goal; possibility measure; necessity measure; simplex method; fuzzy linear programming; fuzzy mathematical programming; stochastic programming; optimal portfolio selection### Software:

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\textit{M. Inuiguchi} and \textit{J. Ramík}, Fuzzy Sets Syst. 111, No. 1, 3--28 (2000; Zbl 0938.90074)

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### References:

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