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Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

✍ Scribed by Enriqueta Vercher

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
177 KB
Volume
217
Category
Article
ISSN
0377-0427

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✦ Synopsis

This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.

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