Interval Number Fuzzy Portfolio Selection Model
Shouyang Wang · Systems Engineering · 2007
A interval number fuzzy portfolio selection model is proposed with a method,which Markowitz portfolio selection model is converted into fuzzy linear programming model with fuzzy constraint and profit rates and risk rates of security are described by interval fuzzy number.Then a interval programming problem is converted into a parameter linear programming problem by the knowledge of interval math.Finally,a numerical example is given to illustrate the validity of the method.