A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

Antonio Pecorella; Valerio Lacagnina

A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

Antonio Pecorella, Valerio Lacagnina

Scienze Economiche, Aziendali e Statistiche

Risultato della ricerca: Article › peer review

48 Citazioni (Scopus)

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.

Lingua originale	English
pagine (da-a)	1317-1327
Rivista	Fuzzy Sets and Systems
Volume	157
Stato di pubblicazione	Published - 2006

All Science Journal Classification (ASJC) codes

Logic
Artificial Intelligence

Altri file e collegamenti

OA Link

Fingerprint Entra nei temi di ricerca di 'A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem'. Insieme formano una fingerprint unica.

Cita questo

@article{d9195bfeaf6441ebb685d8cf51987307,

title = "A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem",

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.",

keywords = "Fuzzy optimization, multistage stochastic programming, portfolio management, Fuzzy optimization, multistage stochastic programming, portfolio management",

author = "Antonio Pecorella and Valerio Lacagnina",

year = "2006",

language = "English",

volume = "157",

pages = "1317--1327",

journal = "Fuzzy Sets and Systems",

issn = "0165-0114",

publisher = "Elsevier",

}

TY - JOUR

T1 - A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

AU - Pecorella, Antonio

AU - Lacagnina, Valerio

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

KW - Fuzzy optimization

KW - multistage stochastic programming

KW - portfolio management

KW - Fuzzy optimization

KW - multistage stochastic programming

KW - portfolio management

UR - http://hdl.handle.net/10447/19157

M3 - Article

VL - 157

SP - 1317

EP - 1327

JO - Fuzzy Sets and Systems

JF - Fuzzy Sets and Systems

SN - 0165-0114

ER -