Fuzzy linear programming: An application in portfolio selection

• Main Authors: Lim, Erin Beatrice K., Ocampo, Alyssa Therese D.
• Format: text
• Language: English
• Published: Animo Repository 2008
• Subjects: Programming (Mathematics); Fuzzy sets > Linear programming; Fuzzy systems > Mathematical models; Linear programming
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17488
• Institution: De La Salle University

Markowitz portfolio selection model is the most frequent model used when solving portfolio selection problem. But since this thesis focuses on the use of fuzzy linear programming , Markowitz portfolio selection model was transformed into mean absolute deviation minimization to be able to apply the said method. It includes three formulation: (1) linear optimization model, (2) Verdegay's approach, and (3) Werners' approach. This thesis uses weekly return datat from January 2008 to June 2008 with five (5) securities namely PAXYS Incorporated, Petron Corporation, Vitarich Corporation, Semirara Mining, and A Brown Company. These securities will be used to apply the portfolio optimization problem.