6533b829fe1ef96bd1289775

RESEARCH PRODUCT

Fuzzy portfolio selection based on the analysis of efficient frontiers

Clara CalvoCarlos IvorraVicente Liern

subject

Mathematical optimizationCardinalityFuzzy setMathematics::Optimization and ControlPortfolioFuzzy numberFuzzy set operationsEfficient frontierStatistics::Other StatisticsPortfolio optimizationFuzzy logicMathematics

description

We present an algorithm for analyzing the geometry of the efficient frontier of the portfolio selection problem with semicontinuous variable and cardinality constraints, and use it as a basis to solve a fuzzy version of the problem, designed to obtain efficient portfolios, in the Markowitz's sense, for which the trade-off between expected return and assumed risk fits better the investor's subjective criteria. We illustrate our proposal with an example solved with LINGO and Mathematica.

yearjournalcountryeditionlanguage
2011-11-012011 11th International Conference on Intelligent Systems Design and Applications
https://doi.org/10.1109/isda.2011.6121765