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A stochastic soft constraints fuzzy model for a portfolio selection problem

✍ Scribed by V. Lacagnina; A. Pecorella

Book ID
108133614
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
553 KB
Volume
157
Category
Article
ISSN
0165-0114

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In mean-variance (M-V) analysis, an investor with a holding period [0,T] operates in a two-dimensional space-one is the mean and the other is the variance. At time 0, he/she evaluates alternative portfolios based on their means and variances, and holds a combination of the market portfolio (e.g., an