A FUZZY SET APPROACH FOR A MULTI-PERIOD OPTIMAL PORTFOLIO SELECTION MODEL

Xing Yu

Department of Mathematics & Applied Mathematics, Hunan university of humanities, science and technology, Loudi, 417000, P.R. China

Due to portfolio decision deals with future events and opportunities, the market information is uncertain. This paper aims to propose a fuzzy multi-period portfolio selection model to hedge against the uncertainty. A new transformation method based on qualitative possibility theory is developed to transfer the model to a crisp programming, which can be solved by an optimization technique. An example is used to illustrate our approach.