The K-T conditions for portfolio selection problem in fuzzy decision system

This paper introduces a type of mean-variance model for portfolio selection problem, in which the security returns are assumed to be fuzzy variables. To solve the portfolio problem, this paper applies the variance formulas to the proposed model so that the original optimization problem can be reduced to the deterministic one, which can be solved by applying Kuhn-Tucker (K-T) conditions. A numerical example is presented to demonstrate the proposed method.