篇名 | Multi-Objective Portfolio Optimization Model |
---|---|
卷期 | 21:1 |
作者 | Samanta, Bablu 、 Roy, Tapan Kumar |
頁次 | 55-70 |
關鍵字 | Portfolio optimization 、 Multi-objective model 、 Entropy 、 Fuzzy mathematical programming |
出刊日期 | 200505 |
Multi-objective non-linear programs occur in various fields of applications in O.R. One of the applications of such program is portfolio selection problem. In this paper, we first consider a multi-objective Portfolio Selection based model and next added another entropy objective function, which is used by Shannon’s measure of entropy and then this problem is formulated in generalized form. Fuzzy programming technique is used to solve the problems. The models are illustrated with numerical examples.