Portfolio selection problems with random fuzzy variable returns

摘要: This paper considers several portfolio selection problems including probabilistic future returns with ambiguous expected assumed as random fuzzy variables. Random are formulated nonlinear programming based on both stochastic and approaches Since there is no efficient solution method to solve these directly, main transformed into equivalent deterministic quadratic using chance constraints, possibility measure goals, their methods find a global optimal of each problem constructed. Furthermore, numerical examples provided illustrate our proposed models compared previous basic show that model versatile be applicable various unexpected conditions.