6533b7d0fe1ef96bd125a237

RESEARCH PRODUCT

A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market

José Vicente SeguraEnriqueta VercherJosé D. Bermúdez

subject

Actuarial scienceMathematics::General MathematicsComputer sciencebusiness.industryDecision theoryFuzzy setEfficient frontierStatistics::Other StatisticsComputer Science::Computational Engineering Finance and ScienceReplicating portfolioGenetic algorithmEconometricsPortfolioFuzzy numberExpected returnStock marketPost-modern portfolio theoryQuadratic programmingPortfolio optimizationbusinessRisk managementModern portfolio theory

description

In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.

yearjournalcountryeditionlanguage
2007-06-012007 IEEE International Fuzzy Systems Conference
https://doi.org/10.1109/fuzzy.2007.4295466