Fuzzy Programming Model of Portfolio Investment
Guo Si-zong · Mohu xitong yu shuxue · 2010
A fuzzy programming model of portfolio investment is defined a new ranking criterion of fuzzy numbers with the method of structured element,which Markowitz portfolio investment model is converted into fuzzy linear programming model with fuzzy constraint and profit rates and risk rates of security are described by fuzzy number.Then a fuzzy programming problem is converted into a classical linear programming problem by the know ledge of fuzzy math.Finally,a numerical example is given to illustrate the validity of the method.