A fuzzy rate-of-return based model for portfolio selection and risk estimation

Portfolio selection for strategic asset management is a crucial activity in many organizations. It is concerned with a complex process that usually involves a variety decision making situations. An approach is presented that incorporates fuzzy set and possibility theories, uncertainty management, and respective mathematical model development. The result of the proposed approach is compared with traditional portfolio selection model. This methodology has been useful in the management of assets against certain given liability and risk estimation of different portfolio structures. It also helps forming structured portfolios that will be more robust on the volatile markets.