DocumentCode :
2915100
Title :
Fuzzy portfolio selection based on the analysis of efficient frontiers
Author :
Calvo, C. ; Ivorra, C. ; Liern, V.
Author_Institution :
Dipt. de Mat. para la Econ., y la Empresa, Univ. de Valencia, Valencia, Spain
fYear :
2011
fDate :
22-24 Nov. 2011
Firstpage :
861
Lastpage :
866
Abstract :
We present an algorithm for analyzing the geometry of the efficient frontier of the portfolio selection problem with semicontinuous variable and cardinality constraints, and use it as a basis to solve a fuzzy version of the problem, designed to obtain efficient portfolios, in the Markowitz´s sense, for which the trade-off between expected return and assumed risk fits better the investor´s subjective criteria. We illustrate our proposal with an example solved with LINGO and Mathematica.
Keywords :
fuzzy set theory; geometry; investment; Mathematica; assumed risk; cardinality constraints; expected return; fuzzy portfolio selection problem; geometry; semicontinuous variable; trade-off; Intelligent systems; Efficient frontier; Fuzzy optimization; Portfolio selection; Semicontinuous variables;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Intelligent Systems Design and Applications (ISDA), 2011 11th International Conference on
Conference_Location :
Cordoba
ISSN :
2164-7143
Print_ISBN :
978-1-4577-1676-8
Type :
conf
DOI :
10.1109/ISDA.2011.6121765
Filename :
6121765
Link To Document :
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