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Possibilistic Linear Programming and its Comparison with Stochastic Programming in Portfolio Selection Problem

Asasian Kolur, Mehdi | 2009

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 39341 (02)
  4. University: Sharif University of Technology
  5. Department: Mathematical Sciences
  6. Advisor(s): Mahdavi Amiri, Nezamoddin
  7. Abstract:
  8. In recent decades fuzzy linear programming and possiblistic linear programming models have been considered as strong tools for modeling uncertainty of problems. Here, after describing the possibility theory and considering the fuzzy relations with respect to possiblistic programming, we consider some models of fuzzy linear programming and its possiblistic model. Then, some of stochastic linear programming are discussed. After explanning the portfolio selection problem, we analyz and compare the numerical results of these two kinds of linear programming approaches. Finally using MATLAB software enviroment, the algorithms are implemented and tested
  9. Keywords:
  10. Stochastic Programming ; Stock Portfolio ; Simplex Method ; Fuzzy Mathematical Programming ; Fuzzy Constraint ; Fuzzy Goal ; Possibility Measure ; Necessity Measure

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