Solution of the portfolio optimization model as a fuzzy bilevel programming problem Chapter in Scopus uri icon

Abstract

  • © Springer International Publishing AG, part of Springer Nature 2018. In this chapter, we consider a mixed-integer bilevel linear programming problem with one parameter in the right-hand side of the constraints in the lower level (or, the follower¿s) problem. Motivated by an application to the fuzzy portfolio optimization model, we consider a particular case that consists in maximizing the investor¿s expected return. The functions are linear at both the upper and lower levels, and the proposed algorithm is based upon an approximation of the optimal value function using the branch-and-bound method. Therefore, at every node of this tree-type structure, we apply a new branch-and-bound procedure to deal with the integrity restriction.

Publication date

  • January 1, 2018