Portfolio Selection Problems Considering Fuzzy Returns of Future Scenarios

In this paper, we propose multi-objective mathematical decision models with respect to portfolio selection problems, particularly using the scenario model to include the ambiguous factors. In real investment case, since many random and ambiguous situations exist, portfolio selection problems under such situations are considered. Mathematical programming problems including them are generally called to stochastic programming problems and fuzzy programming problems, and they are equivalently transformed into nonlinear programming problems. Since it is difficult to find the global optimal solution with respect to their problems directly, in this paper, we construct the efficient solution method to find the global optimal solution of such nonlinear programming problems.