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VALERIO LACAGNINA

A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

  • Authors: Lacagnina, V.; Pecorella, A.
  • Publication year: 2006
  • Type: Articolo in rivista
  • Key words: Fuzzy optimization, multistage stochastic programming, portfolio management
  • OA Link: http://hdl.handle.net/10447/19157

Abstract

The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper we develop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecision as well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressed to integrate stochastic and possibilistic programming.