ITHEA International Scientific Society : DUAL PROBLEM OF FUZZY PORTFOLIO OPTIMIZATION

ITHEA Classification Structure > H. Information Systems > H.4 INFORMATION SYSTEMS APPLICATIONS > H.4.2 Types of Systems

DUAL PROBLEM OF FUZZY PORTFOLIO OPTIMIZATION
By: Yuriy Zaychenko, Maliheh Esfandiaryfard (4117 reads)

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Abstract: The dual problem of fuzzy portfolio optimization is considered and investigated. A mathematical model of this problem was constructed, explored and the sufficient conditions for its convexity were obtained. The sufficient optimality conditions of its solution are presented.

Keywords: fuzzy portfolio, optimization, dual problem, optimality conditions

ACM Classification Keywords: H.4.2. Information system Applications: Types of Systems Decision Support

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DUAL PROBLEM OF FUZZY PORTFOLIO OPTIMIZATION

Yuriy Zaychenko, Maliheh Esfandiaryfard

http://foibg.com/ijitk/ijitk-vol03/IJITK03-2-p06.pdf

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H.4.2 Types of Systems

article: SENSITIVITY ANALYSIS OF A DECISION-MAKING PROBLEM USING THE ANALYTIC ... · FUZZY MODELS AND METHODS OF RATIONAL RESOURCE ALLOCATION · AN APPROACH TO BUSINESS PROCESSES REENGINEERING BASED ON INTEGRATION OF ... · A STUDY OF INTELLIGENT TECHNIQUES FOR PROTEIN SECONDARY STRUCTURE PREDICTION · ANALYSIS FINITELY SMALL VALUES IN COMPUTER SIMULATION · THE CREATION OF STRATEGY FOR INNOVATION DEVELOPMENT OF SOCIOECONOMIC SYSTEMS · INFORMATION SYSTEM OF FORECASTING BASED ON COMBINED MODELS WITH TIME SERIES ... · NEURAL NETWORK APPROACH TO THE FORMATION MODELS OF MULTIATTRIBUTE UTILITY · МОДЕЛИРОВАНИЕ СОГЛАСОВАННОСТИ ЦЕЛЕЙ В ИЕРАРХИЧЕСКИХ СТРУКТУРАХ ПРИНЯТИЯ РЕШЕНИЙ · МЕТОД ПОИСКА РЕШЕНИЙ В ИНТЕЛЛЕКТУАЛЬНЫХ СИСТЕМАХ ПОДДЕРЖКИ ПРИНЯТИЯ РЕШЕНИЙ ... · ТЕМПОРАЛЬНЫЕ СЕТИ ПЕТРИ И ИХ ПРИМЕНЕНИЕ В ИНТЕЛЛЕКТУАЛЬНЫХ СИСТЕМАХ ПОДДЕРЖКИ... · МЕТОДЫ МОДЕЛИРОВАНИЯ ВРЕМЕННЫХ ЗАВИСИМОСТЕЙ В ИНТЕЛЛЕКТУАЛЬНЫХ СИСТЕМАХ С ... · ПРОГРАММНЫЙ КОМПЛЕКС АНАЛИЗА КОНЪЮНКТУРЫ ОПТОВОГО РЫНКА ЭЛЕКТРОЭНЕРГИИ ... · AGENT-BASED MODEL OF ECONOMICS: MARKET MECHANISMS, DECISION MAKING, TAXATION · DEVELOPMENT OF THE APPROACH TO FORMALIZATION OF VECTOR’S INDICATORS OF SUSTAINAB · PSYCHOLOGICAL APPROACH TO EXTRACTING KNOWLEDGE IN HUMAN-COMPUTER INTERACTION ... · Information Support of Preparation Project Management Decisions on Organizationa · МНОГОКРИТЕРИАЛЬНАЯ ОЦЕНКА ПРОЕКТОВ КОСМИЧЕСКОЙ ДЕЯТЕЛЬНОСТИ · ABOUT AN APPROACH TO MODEL DEVELOPMENT OF MAN-COMPUTER INTERACTION · THE METHOD OF ESTIMATING THE CONSISTENCY OF PAIRED COMPARISONS · A SYSTEM APPROACH TO SOLVING FORESIGHT PROBLEMS ON THE BASIS OF DELPHI METHOD · AN INTEGRATED FRAMEWORK OF DESIGNING A DECISION SUPPORT SYSTEM FOR ... · SPECTRAL COEFFICIENT OF CONSISTENCY OF FUZZY EXPERT INFORMATION ... · ПОСЛЕДОВАТЕЛЬНЫЙ АНАЛИЗ КОНЕЧНО МАЛЫХ ВОЗМУЩЕНИЙ ЛИНЕЙНЫХ МОДЕЛЕЙ ПРИ ... · МОДЕЛИРОВАНИЕ ВРЕМЕННЫХ ЗАВИСИМОСТЕЙ В ИНТЕЛЛЕКТУАЛЬНЫХ СИСТЕМАХ ПОДДЕРЖКИ ... · КОМПРОМИССНОЕ РЕШЕНИЕ ЗАДАЧ УСЛОВНОЙ ОПТИМИЗАЦИИ · НЕЧЕТКИЕ ПРОЦЕДУРЫ ПОСЛЕДОВАТЕЛЬНОГО АНАЛИЗА ВАРИАНТОВ В КОМБИНАТОРНЫХ ... · РЕЗУЛЬТАТЫ ЭКСПЕРИМЕНТАЛЬНОГО ИССЛЕДОВАНИЯ ЭФФЕКТИВНОСТИ АЛГОРИТМА ... · APPLICATION OF MATHEMATICAL INDUCTION FOR INHERITANCE LAW INERPRETATIONS · METHODS OF EVALUATION AND IMPROVEMENT OF CONSISTENCY OF EXPERT PAIRWISE... · Hierarchy of Emergent Properties of Alternatives in Systems Analysis · DECISION MAKING PROBLEM WITH FUZZY SET OF GOAL SETS · THE INTELLIGENT DECISION SUPPORT SYSTEM FOR DIAGNOSTIC OF DIFFICULT DISEASES... · BUILDING PRECONDITIONERS USING BASIS MATRIX METHOD · Program complex of regional models of electricity consumption for the Russian... · РАЗРАБОТКА ИНФОРМАЦИОННОЙ СИСТЕМЫ АНАЛИЗА · INTEGRATED TOOLS FOR RESTORATION OF OIL POLLUTED SOILS AND WATER BODIES · PROGRAM COMPLEX OF REGIONAL MODELS OF ELECTRICITY CONSUMPTION FOR THE RUSSIAN FE · FUZZY NEURAL NETWORKS FOR EVALUATING THE CREDITWORTHINESS OF THE BORROWERS · ANALYZING THE COLLECTIVE INTELLIGENCE APPLICATION SOFTWARE ... · АНАЛИЗ ЭФФЕКТИВНОСТИ НЕЧЕТКИХ НЕЙРОННЫХ СЕ · МЕТОДЫ ОЦЕНКИ ДЕЯТЕЛЬНОСТИ ПОДРАЗДЕЛЕНИЙ О · DEVELOPING A MODEL OF HUMAN INTERACTION WITH THE SYSTEM OF DECISION-SUPPORT ... · ORDERING MULTIATTRIBUTE ESTIMATING METHODS FROM THE UTILITY POINT OF VIEW · МЕТОД БАЗИСНЫХ МАТРИЦ И МАТРИЧНАЯ ИГРА В СМ� · КОМПРОМИСС И КОНСЕНСУС В ТЕОРИИ ПРИНЯТИЯ РЕ · МОДЕЛИРОВАНИЕ ОЦЕНКИ ЗНАНИЙ ВЫПУСКНИКА ... · МОДЕЛЬ ОПТИМИЗАЦИИ ПРИБЫЛИ ПРЕДПРИЯТИЙ ЛЕС · ОЦЕНКА ЭФФЕКТИВНОСТИ ПРОГНОЗИРОВАНИЯ И ПРИ · ДВУХУРОВНЕВАЯ МОДЕЛЬ НЕЧЕТКОГО РАЦИОНАЛЬН� · РАЗРАБОТКА И ИСПОЛЬЗОВАНИЕ ИНТЕГРАЛЬНОГО · АНАЛИЗ КРЕДИТОСПОСОБНОСТИ ЗАЕМЩИКОВ ЮРИД� · МНОГОКРИТЕРИАЛЬНАЯ ОЦЕНКА АЛЬТЕРНАТИВ · DECISIONS ON SELECTING THE TRAINING ALGORITHM OF THE NEURAL NETWORK WITH ... · ОНТОЛОГОУПРАВЛЯЕМАЯ СИСТЕМНАЯ ОПТИМИЗАЦИЯ · UTILITY FUNCTION DESIGN ON THE BASE OF THE PAIRED COMPARISON MATRIX* · ЭКСПЕРТНЫЕ МОДЕЛИ МНОГОКРИТЕРИАЛЬНОЙ ОПТИ� · INDIRECT APPROACH OF DETERMINATION OF COLLECTIVE ALTERNATIVE RANKING ON THE ... · SAFETY OPERATIONS OF THE COMPLEX ENGINEERING OBJECTS · STOCHASTIC MODELS AND METHODS OF OPERATIVE-DISPATCH CONTROL OVER THE ... · СРАВНЕНИЕ ПОЛИИНТЕРВАЛЬНЫХ ОЦЕНОК В МЕТОДЕ · ИССЛЕДОВАНИЕ ЗАДАЧИ ОПТИМИЗАЦИИ ИНВЕСТИЦИ� · АНАЛИЗ МАЛЫХ ВОЗМУЩЕНИЙ ЛИНЕЙНЫХ ЭКОНОМИК� · APPLICATION OF TECHNOLOGY FORESIGHT STRATEGY IN INNOVATION ACTIVITY · A GENERAL PURPOSE SOFTWARE SYSTEM FOR LINEAR OPTIMIZATION AND DECISION ... · APPLICATION OF TEMPORAL REASONING AND CASE-BASED REASONING IN INTELLIGENT ... · РАБОТА С АНАЛИТИЧЕСКИМИ ОТЧЁТАМИ В ИССЛЕДО� · THE FUZZY GROUP METHOD OF DATA HANDLING WITH FUZZY INPUTS · COLLECTIVE PRODUCT COST SHARING IN CONDITIONS OF MANAGED ECONOMY · PROCEDURES OF SEQUENTIAL ANALYSIS AND SIFTING OF VARIANTS FOR THE LINEAR ORDERI · SYSTEM APPROACH TO ESTIMATION OF GUARANTEED SAFE OPERATION OF COMPLEX · METHODS OF COMPARATIVE ANALYSIS OF BANKS FUNCTIONING: CLASSIC AND NEW APPROACHE · EXPERIENCE OF DEVELOPMENT AND APPLICATION OF EXPERT SYSTEMS ... · GENERALIZED INTERVAL ESTIMATIONS IN DECISION MAKING AND SCENARIO ANALYSIS · DUAL PROBLEM OF FUZZY PORTFOLIO OPTIMIZATION · EXPERIENCE OF DEVELOPMENT AND APPLICATION OF EXPERT SYSTEMS ... · THE COMPLEX UNIFIED EVOLUTIONARY APPROACH TO THE CREATION ... · REASONING BY STRUCTURAL ANALOGY TAKING INTO ACCOUNT ... · A GENERAL PURPOSE SOFTWARE SYSTEM FOR LINEAR OPTIMIZATION AND ... · STOCHASTIC MODELS AND METHODS OF OPERATIVE-DISPATCH CONTROL ... · APPLICATION OF TECHNOLOGY FORESIGHT STRATEGY ... · APPLICATION OF TEMPORAL REASONING AND CASE-BASED REASONING · THE FUZZY GROUP METHOD OF DATA HANDLING WITH FUZZY INPUTS · COLLECTIVE PRODUCT COST SHARING IN CONDITIONS OF MANAGED ECONOMY · PROCEDURES OF SEQUENTIAL ANALYSIS AND SIFTING OF VARIANTS · MULTIDECISION-2: A MULTICRITERIA DECISION SUPPORT SYSTEM · TOWARDS THE PROBLEMS OF AN EVALUATION OF DATA UNCERTAINTY ... · GENERALIZED SCALARIZING PROBLEMS GENS AND GENSLEX ... · A MULTICRITERIA DECISION SUPPORT SYSTEM MULTIDECISION-11 · ANALYZING THE DATA IN OLAP DATA CUBES* · THE ON-BOARD OPERATIVE ADVISORY EXPERT SYSTEMS · CASE-BASED REASONING METHOD FOR REAL-TIME EXPERT DIAGNOSTICS SYSTEMS ·

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