In order to analyze uncertain phenomena in real world, the concept of fuzzy random variables is widely employed in model building. In dealing with fuzzy data, defuzzification plays a central role. In this paper, portfolio selection problems are dealt as interval values. We calculate the expected values, variance and covariance by using the estimated parameters of underlying probability distribu...

Adequately considering interactions among IT projects in the process of constructing an IT project portfolio is a necessary condition in value-based IT project portfolio management (PPM). A lot of articles already deal with such interactions, but the literature lacks a common terminology and a structured perspective on the manifold types of interactions and their effects. In this article we pre...

The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of t...

in this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. then a novel interactive approach is proposed to determine the pref...

The water environment restoration project portfolio (WERP) selection is discussed in this paper. By complying with the analysis of project’s multidimensional property and operation mode, paper develops chance constraint management WERP from perspectives public service enterprise operation. In addition, multi-objective mixed integer linear programming model constructed by combining expectation m...

Our objective is to develop a methodology to detect regions in risk-return space where the out-of-sample performance of portfolios is consistent with their in-sample performance. We use the Berkowitz statistic to evaluate the accuracy of the density forecast, derived from in-sample portfolio returns, of out-of-sample portfolio returns. Defined by its coordinates in risk-return space, a portfoli...