Author: Weiquan Jin

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AUTHOR

Weiquan Jin

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Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach

2012

Published version of an article from the journal: Mathematical Problems in Engineering. Also available from the publisher:http://dx.doi.org/10.1155/2012/628295 This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors' objectives. Fi…

VDP::Mathematics and natural science: 400::Mathematics: 410::Applied mathematics: 413Actuarial scienceArticle SubjectComputer scienceInvestment strategyApplication portfolio managementGeneral Mathematicslcsh:MathematicsGeneral EngineeringBlack–Litterman modellcsh:QA1-939VDP::Social science: 200::Economics: 210::Econometrics: 214lcsh:TA1-2040Return on investmentEconometricsPost-modern portfolio theoryPortfolio optimizationlcsh:Engineering (General). Civil engineering (General)Investment performanceSelection (genetic algorithm)Mathematical Problems in Engineering

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PEPhysical Sciences and Engineering
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LSLife Sciences
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SHSocial Sciences and Humanities
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