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Author
Sewastianow Paweł, Jończyk Monika
Title
Bicriterial Fuzzy Portfolio Selection
Dwukryterialna, rozmyta optymalizacja portfela papierów wartościowych
Source
Badania Operacyjne i Decyzje, 2003, nr 4, s. 149-165, bibliogr. 24 poz.
Operations Research and Decisions
Keyword
Programowanie matematyczne, Programowanie liniowe, Metody portfelowe
Mathematical programming, Linear programming, Portfolio methods
Note
streszcz., summ.
Abstract
W artykule przeanalizowano rozwiązanie problemu optymalnej selekcji portfela papierów wartościowych, przedstawiając go jako zagadnienie nieliniowego, rozmytego, dwukryterialnego programowania. W tym celu opracowano specjalny algorytm numeryczny. Pokazano, że tak sformułowany problem dostarcza rozwiązań, które uogólniają, jako wyniki szczegółowe, wszystkie wyniki uzyskane przy użyciu podejść jednokryterialnych. Zastosowano sposoby podejścia proponowane przez Stefana Chanasa do rozwiązywania zagadnień programowania liniowego z przedziałowymi i rozmytymi parametrami. Również inspiracja tematem wiąże się ze znaczącymi osiągnięciami prof. Chanasa w tym obszarze badawczym.

A solution of the portfolio selection problem, presented as a nonlinear fuzzy bicriterial task, has been analyzed. For the purpose of solving this problem, a special numerical algorithm has been elaborated. It is shown that using bicriterial portfolio problem formulation all the results obtained with application of usual (with a single criterion) methods can be gained as special cases. The authors use the approaches proposed by Stefan Chanas to solve the problems of linear programming with interval and fuzzy coefficients, being inspired by his significant contribution to this domain.
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Bibliography
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ISSN
1230-1868
Language
eng
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