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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: : fuzzy; stochastic; linear programming; pure factors portfolio
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill; G - Financial Economics > G1 - General Financial Markets > G10 - General

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