Fuzzy portfolio optimization a quadratic programming approach. (English) Zbl 1068.91025

Summary: The topic of this paper is, as the title shows, to introduce the formulation of fuzzy portfolio optimization problem as a convex quadratic programming approach and then give an acceptable solution to such problem. A numerical example included in the support of this paper for illustration.


91G10 Portfolio theory
90C20 Quadratic programming
Full Text: DOI


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