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Application of fuzzy measures and interval computation to financial portfolio selection

✍ Scribed by Tanja Magoč; Xiaojing Wang; François Modave

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 113 KB
Volume: 25
Category: Article
ISSN: 0884-8173
DOI: 10.1002/int.20415

No coin nor oath required. For personal study only.

✦ Synopsis

As many data-driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decisionmaking problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decision-theoretic perspective and show how to address this problem using fuzzy measures and fuzzy integrals.

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