Abstract
Abstract The portfolio construction problem usually has been viewed in the framework of risk-return trade-off. Using deterministic and stochastic portfolio models used to solve the problem lead to unrealistic results as both the expected return rate and the risk are vague. Moreover, the decision maker frequently deals with insufficient data when selecting a portfolio. Using fuzzy models allows removal of these drawbacks and permits the incorporation of the expert knowledge. However, the existing fuzzy portfolio selection models aze mainly oriented to partial fuzzification of deterministic linear programming models (mainly modeling uncertainty in the return) without the incorporation of fuzzy risk. These models do not always allow effective management of the conflict between expected return and risk. They also suffer from high computational complexity resulting from the use of the classical fuzzy linear programming approach. In this paper we propose a fuzzy portfolio selection model based on fuzzy linear p...
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