Title :
A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market
Author :
Bermudez, José D. ; Segura, José V. ; Vercher, Enriqueta
Author_Institution :
Univ. de Valencia, Burjassot
Abstract :
In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.
Keywords :
decision making; decision theory; fuzzy set theory; genetic algorithms; number theory; stock markets; Spanish stock market; decision-making; expected return; expected risk; fuzzy ranking strategy; genetic algorithm; portfolio returns uncertainty; portfolio selection problem; rank index; trapezoidal fuzzy number; Finance; Investments; Linear programming; Measurement standards; Portfolios; Quadratic programming; Risk management; Security; Stock markets; Uncertainty;
Conference_Titel :
Fuzzy Systems Conference, 2007. FUZZ-IEEE 2007. IEEE International
Conference_Location :
London
Print_ISBN :
1-4244-1209-9
Electronic_ISBN :
1098-7584
DOI :
10.1109/FUZZY.2007.4295466
