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| Author: | Leon, T. Liern, V. Vercher, E. |
| Title: | Viability of infeasible portfolio selection problems: A fuzzy approach |
| Journal: | European Journal of Operational Research
2002 : MAY, VOL. 139:1, p. 178-189 |
| Index terms: | OPTIMIZATION PORTFOLIO MANAGEMENT RISK |
| Language: | eng |
| Abstract: | This paper deals with fuzzy optimization schemes for managing a portfolio in the framework of risk-return trade- off. Different models coexist to select the best portfolio according to their respective objective functions and many of them arc linearly constrained. The authors are concerned with the infeasible instances of such models. This infeasibility, usually provoked by the conflict between the desired return and the diversification requirements proposed by the investor, can be satisfactorily avoided by using fuzzy linear programming techniques. The authors propose an algorithm to repair infeasibility and the authors illustrate its performance on a numerical example. |
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