Mean-variance-skewness model for portfolio selection with fuzzy returns
β Scribed by Xiang Li; Zhongfeng Qin; Samarjit Kar
- Book ID
- 108118730
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 479 KB
- Volume
- 202
- Category
- Article
- ISSN
- 0377-2217
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π SIMILAR VOLUMES
This paper discusses portfolio selection problem in fuzzy environment. In the paper, semivariance is originally presented for fuzzy variable, and three properties of the semivariance are proven. Based on the concept of semivariance of fuzzy variable, two fuzzy mean-semivariance models are proposed.
## Abstract A new optimal portfolio selection method within the Markowitz meanβvariance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield