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Bicriterial fuzzy portfolio selection

Author

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  • Paweł Sewastianow
  • Monika Jończyk

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.

Suggested Citation

  • Paweł Sewastianow & Monika Jończyk, 2003. "Bicriterial fuzzy portfolio selection," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 13(4), pages 149-165.
    • Handle: RePEc:wut:journl:v:4:y:2003:p:13
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    References listed on IDEAS

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    2. Linsmeier, Thomas J. & Pearson, Neil D., 1996. "Risk measurement: an introduction to value at risk," ACE Reports 14796, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    3. Tanaka, Hideo & Guo, Peijun, 1999. "Portfolio selection based on upper and lower exponential possibility distributions," European Journal of Operational Research, Elsevier, vol. 114(1), pages 115-126, April.
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