Robust Versions of the Lower and Upper Possibilistic Mean - Variance Models for the One Period or Two Periods Cases

Authors : Furkan Göktaş

Pages : 373-382

Doi:10.35193/bseufbd.1239045

View : 59 | Download : 87

Publication Date : 2023-11-30

Article Type : Research Paper

Abstract :It is easy to use possibility theory in modeling incomplete information. Robust optimization is an important tool when there is parameter uncertainty. Thus, in this study, we propose robust versions of the lower and upper possibilistic mean - variance (MV) models when there are multiple possibility distribution scenarios. Here, we use entropy as a diversification constraint. In addition, we reduce these robust versions to concave maximization problems. Furthermore, we generalize them for two periods portfolio selection problem by using fuzzy addition and multiplication. On the other hand, these generalizations are not concave maximization problems. Finally, we give an illustrative example by using different solvers in Gams modeling system.
Keywords : Entropi, Bulanık Aritmetik, Portföy Seçimi, Olabilirlik Teorisi, Dayanıklı Optimizasyon

ORIGINAL ARTICLE URL