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Fuzzy Portfolio Selection Model Using Linear Programming

  • Mustafa Menekay
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 896)

Abstract

This paper development of crisp and fuzzy portfolio models using linear programming. Using Lagrange multiplier method the solution of linear programming is carried out. As a input data past gains of assets and values of expect gains are taken. The portfolio selection model, in the form of linear programming, based on the values of expected gains and the variance of securities is formulated. The gradient method is connected to discover weights values of assets. The α level method and interim number arithmetic is utilized to take care of fuzzy enhancement issue and locate the ideal fuzzy estimations of the securities.

Keywords

Fuzzy portfolio Linear programming 

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Department of International BusinessNear East UniversityNicosia, Mersin 10Turkey

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