Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:217

Article

Vercher, Enriqueta

关键词: fuzzy mathematical programming;    fuzzy returns;    downside risk function;    portfolio selection problem;    semi-infinite programming;   

DOI  :  10.1016/j.cam.2007.02.017

来源: Elsevier

【 摘 要 】

This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example. (C) 2007 Elsevier B.V. All rights reserved.

【 授权许可】

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