A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

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Abstract

The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper wedevelop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecisionas well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressedto integrate stochastic and possibilistic programming.
Original languageEnglish
Pages (from-to)1317-1327
JournalFuzzy Sets and Systems
Volume157
Publication statusPublished - 2006

All Science Journal Classification (ASJC) codes

  • Logic
  • Artificial Intelligence

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