On Effects to Investment Performances of Random Fuzzy Portfolio Selection Problems by Considering Subjectivity

Abstract

This article presents random fuzzy portfolio selection problems including the investor's subjectivity. The proposed models are formulated as stochastic and fuzzy programming problems, and so in order to solve these problems analytically, we introduce stochastic and fuzzy chance constraints and perform deterministic equivalent transformations. Furthermore, introducing some numerical examples, we compare our proposed models with standard portfolio models and consider the effects for the investor's subjectivity.