Bicriterial fuzzy portfolio selection

Paweł Sewastianow () and Monika Jończyk ()

Operations Research and Decisions, 2003, vol. 13, issue 4, 149-165

Abstract: A solution of the portfolio selection problem, presented as a nonlinear fuzzy bicriterial task, has been analyzed. For the purpose of solving this problem, a special numerical algorithm has been elaborated. It is shown that using bicriterial portfolio problem formulation all the results obtained with application of usual (with a single criterion) methods can be gained as special cases. The authors use the approaches proposed by Stefan Chanas to solve the problems of linear programming with interval and fuzzy coefficients, being inspired by his significant contribution to this domain.

Keywords: fuzzy portfolio selection; linear programming; interval coefficient; fuzzy coefficient (search for similar items in EconPapers)
Date: 2003
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