6533b7d2fe1ef96bd125e97d

RESEARCH PRODUCT

Fuzzy portfolio optimization under downside risk measures

José Vicente SeguraJosé D. BermúdezEnriqueta Vercher

subject

Expected shortfallMathematical optimizationSpectral risk measureArtificial IntelligenceLogicReplicating portfolioDownside riskPortfolioPost-modern portfolio theoryPortfolio optimizationModern portfolio theoryMathematics

description

This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained by a given expected return. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between those mean-interval definitions for a given fuzzy portfolio by using suitable ordering relations. Finally, we formulate the portfolio selection problem as a linear program when the returns on the assets are of trapezoidal form.

yearjournalcountryeditionlanguage
2007-04-01Fuzzy Sets and Systems
https://doi.org/10.1016/j.fss.2006.10.026