Authors: Javad Nematian
Addresses: Department of Industrial Engineering, University of Tabriz, P.O. Box 51666-14766, Tabriz, Iran
Abstract: In conventional portfolio optimisation models, the market condition is predicted by historical data and the asset returns are random variables. In this paper, a special class of portfolio selection problems is introduced where the asset returns are fuzzy random variables. Then, the proposed problem is formulated and solved by using new methods. In the presented methods, we use the scalar expected value of fuzzy random variables and fuzzy stochastic chance-constrained programming based on possibility and necessity measures. Furthermore, a numerical example is also given to show the efficiency of the methods discussed in this paper.
Keywords: portfolio selection; fuzzy random variables; FRV returns; fuzzy stochastic programming; chance-constrained programming; portfolio optimisation; asset returns; scalar expected value; fuzzy logic.
International Journal of Operational Research, 2015 Vol.22 No.3, pp.287 - 309
Available online: 11 Mar 2015 *Full-text access for editors Access for subscribers Purchase this article Comment on this article