Abstract: The problem of multicriteria fuzzy portfolio optimization is considered and investigated. This problem include two main criteria – portfolio profitableness and risk . A mathematical model of this problem was constructed , explored and the sufficient conditions for its convexity were obtained. . The results of experimental investigations of solutions are presented and discussed

Keywords: fuzzy portfolio optimization, multicriteria optimization problem, portfolio profitableness , portfolio risk

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 МНОГОКРИТЕРИАЛЬНОЙ ЗАДАЧИ ОПТИМИЗАЦИИ ИНВЕСТИЦИОННОГО ПОРТФЕЛЯ В НЕЧЕТКИХ УСЛОВИЯХ

Малихех Есфандиярфард , Юрий Зайченко, Ови Нафас Агаи Аг Гамиш

http://foibg.com/ibs_isc/ibs-22/ibs-22-p12.pdf