.png){kind=icon}
.png){kind=icon}
Return
Fuzzy portfolio optimization under downside risk measures
.png){kind=icon}
PRE
AI
DOI：10.1016/j.fss.2006.10.026.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained by a given expected return. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between those mean-interval definitions for a given fuzzy portfolio by using suitable ordering relations. Finally, we formulate the portfolio selection problem as a linear program when the returns on the assets are of trapezoidal form. (C) 2006 Elsevier B.V. All rights reserved.
Keywords:
fuzzy numbers
interval-valued expectation
possibilistic mean value
downside risk functions
fuzzy mathematical programming
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
2.7
Papers:
7.6K
Citations:
1.5W
Organization
No organization information available