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- W2020009700 abstract "In this paper, we develop a hybrid bi-objective credibility-based fuzzy mathematical programming model for portfolio selection under fuzzy environment. To deal with imprecise parameters, we use a hybrid credibility-based approach that combines the expected value and chance constrained programming techniques. The model simultaneously maximizes the portfolio return and minimizes the portfolio risk. We also consider an additional important criterion, namely, portfolio liquidity as a constraint in the model to make it better suited for practical applications. The proposed fuzzy optimization model is solved using a two-phase approach. An empirical study is included to demonstrate applicability of the proposed model and the solution approach in real-world applications of portfolio selection." @default.
- W2020009700 created "2016-06-24" @default.
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- W2020009700 date "2014-01-01" @default.
- W2020009700 modified "2023-10-14" @default.
- W2020009700 title "CREDIBILITY-BASED FUZZY MATHEMATICAL PROGRAMMING MODEL FOR PORTFOLIO SELECTION UNDER UNCERTAINTY" @default.
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- W2020009700 doi "https://doi.org/10.1142/s0219622014500059" @default.
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