Robust versions of the lower and upper possibilistic mean - variance models for the one period or two periods cases
Küçük Resim Yok
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
It is easy to use possibility theory in modeling incomplete information. Robust optimization is an important tool when there is parameter uncertainty. Thus, in this study, we propose robust versions of the lower and upper possibilistic mean - variance (MV) models when there are multiple possibility distribution scenarios. Here, we use entropy as a diversification constraint. In addition, we reduce these robust versions to concave maximization problems. Furthermore, we generalize them for two periods portfolio selection problem by using fuzzy addition and multiplication. On the other hand, these generalizations are not concave maximization problems. Finally, we give an illustrative example by using different solvers in Gams modeling system
Açıklama
Anahtar Kelimeler
Kaynak
Bilecik Şeyh Edebali Üniversitesi Fen Bilimleri Dergisi
WoS Q Değeri
Scopus Q Değeri
Cilt
10
Sayı
2
