A fuzzy goal programming approach to portfolio selection

作     者：Parra, MA Terol, AB Uría, MVR 

作者机构：Univ Oviedo Dpto Econ Cuantitat Oviedo Spain 

出 版 物：《EUROPEAN JOURNAL OF OPERATIONAL RESEARCH》 (欧洲运筹学杂志)

年 卷 期：2001年第133卷第2期

页      面：287-297页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：portfolio selection goal programming fuzzy programming fuzzy number 

摘      要：Portfolio selection is a usual multiobjective problem. This paper will try to deal with the optimum portfolio for a private investor, taking into account three criteria: return, risk and liquidity. These objectives, in general, are not crisp from the point of view of the investor, so we will deal with them in fuzzy terms. The problem formulation is a goal programming (G.P.) one, where the goals and the constraints are fuzzy. We will apply a fuzzy G.P. approach to the above problem to obtain a solution. Then, we will offer the investor help in handling the results. (C) 2001 Elsevier Science B.V. All rights reserved.