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A note on the effectiveness of some de-fuzzification measures in a fuzzy pure factors portfolio

Papahristodoulou, Christos (2008): A note on the effectiveness of some de-fuzzification measures in a fuzzy pure factors portfolio.

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Abstract

There are several methods to convert fuzzy or stochastic LP to conventional LP models. In this simple paper we evaluate the effectiveness of three proposed methods, using a numerical example from a pure factors portfolio.

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