Portfolio selection based on upper and lower exponential possibility distributions

Article Abstract:

A study was conducted to analyze two types of possibility distributions to associate experts' knowledge in portfolio selection problems. The selection models were determined by quadratic programming problems. A numerical example of a portfolio selection problem was analyzed to characterize the approaches. Results indicated that investment risk can be characterized as an interval value to accommodate the uncertainty in real investment problems.

Management, Usage, Investments, Quadratic programming

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Decision analysis based on fused double exponential possibility distributions

Article Abstract:

The possibility grades given by an expert are approximated by double possibility distributions to characterize uncertainty knowledge from this expert. A fusion model is proposed to integrate multiple possibility distributions into a new one representing a refined knowledge.

Mathematical models

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Portfolio rebalancing model with transaction costs based on fuzzy decision theory

Article Abstract:

A decision making theory for portfolio rebalancing and cost reduction in operations management is presented.

Europe, Production Management, Models, Cost control, Cost reduction

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