There are several methods to convert fuzzy or stochastic LP to conventional LP models. In this simple paper we evaluate the effectiveness of three proposed methods, using a numerical example from a pure factors portfolio.

The classical Quadratic Programming (QP) formulation of the well-known portfolio selection problem has traditionally been regarded as cumbersome and time consuming. This paper formulates two additional models, (i) maximin, and (ii) minimization of mean absolute deviation. Data from 67 securities...