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Asset portfolio optimization using fuzzy mathematical programming. (English) Zbl 1132.91464

Summary: By morphing mean-variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors’ pursuing either of the aggressive or conservative strategies.

MSC:

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

Software:

LINDO
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References:

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