Rosita Kusumawati, Retno Subekti
Fuzzy bi-objective linear programming (FBOLP) model is bi-objective linear programming model in fuzzy number set where the coefficients of the equations are fuzzy number. This model is proposed to solve portfolio selection problem which generate an asset portfolio with the lowest risk and the highest expected return. FBOLP model with normal fuzzy numbers for risk and expected return of stocks is transformed into linear programming (LP) model using magnitude ranking function. © 2017 Author(s).
Mathematics Education Department, Yogyakarta State University, Yogyakarta, Indonesia
