Active portfolio management based on EVA and mean-risk model

This paper discusses the problem of portfolio selection in fuzzy environment. We propose an active portfolio management approach which has practicable steps in fuzzy environment. Since Economic Value Added reflects the true value of enterprises from shareholders´ perceptive, we innovatively use the management idea of Economic Value Added to select perspective securities. Then considering the intuitive and cautious features of risk curve as risk measure, we apply the mean-risk model to make the optimal fuzzy portfolio decision. The result of the numerical example demonstrates that the active portfolio management approach is reasonable and effective.