A stochastic soft constraints fuzzy model for a portfolio selection problem
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. (C) 2005 Elsevier B.V. All rights reserved.
fuzzy programming portfolio management stochastic programming