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.
Lacagnina, V., Pecorella, A. (2006). A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem. FUZZY SETS AND SYSTEMS, 157, 1317-1327 [10.1016/j.fss.2005.10.002].
A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem
LACAGNINA, Valerio;PECORELLA, Antonio
2006-01-01
Abstract
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.
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