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. The results of experimental investigations of solutions are presented and discussed

Keywords: fuzzy portfolio optimization, dual optimization problem/ convexity sufficient conditions,

ACM Classification Keywords: G.1.0 Mathematics of Computing– General – Error analysis; G.1.6 Mathematics of Computing – NUMERICAL ANALYSIS – Optimization - Gradient methods, Least squares methods; I.2.3 Computing Methodologies - ARTIFICIAL INTELLIGENCE - Uncertainty, “fuzzy”, and probabilistic reasoning; I.2.6 Computing Methodologies - ARTIFICIAL INTELLIGENCE – Learning - Connectionism and neural nets;

Link:

ИССЛЕДОВАНИЕ ДВОЙСТВЕННОЙ ЗАДАЧИ ОПТИМИЗАЦИИ ИНВЕСТИЦИОННОГО ПОРТФЕЛЯ В НЕЧЕТКИХ УСЛОВИЯХ

Юрий Зайченко, Ови Нафас Агаи Аг Гамиш

http://foibg.com/ibs_isc/ibs-17/ibs-17-p13.pdf