Fuzzy portfolio optimization a quadratic programming approach

被引：45

作者：

Ammar, E ^{[1
]}

Khalifa, HA

机构：

[1] Tanta Univ, Fac Sci, Dept Math, Tanta, Egypt

[2] Tanta Univ, Fac Educ, Dept Math, Kafr El Sheikh Branch, Kafr Al Sheikh, Egypt

来源：

CHAOS SOLITONS & FRACTALS | 2003年 / 18卷 / 05期

关键词：

D O I：

10.1016/S0960-0779(03)00071-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The topic of this paper is as, the title shows, to introduce the formulation of fuzzy portfolio optimization problem as a convex quadratic programming approach and then give an acceptable solution to such problem. A numerical example included in the support of this paper for illustration. (C) 2003 Elsevier Science Ltd. All rights reserved.

引用

页码：1045 / 1054

页数：10

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