Fuzzy portfolio model for decision making in investment (Q2782378)
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scientific article; zbMATH DE number 1724314
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fuzzy portfolio model for decision making in investment |
scientific article; zbMATH DE number 1724314 |
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3 February 2003
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portfolio selection
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fuzzy programming
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multicriteria decision making
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Fuzzy portfolio model for decision making in investment (English)
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This paper describes a fuzzy programming approach for the classical expected return \(E\) and variance \(V\) portfolio model. Logistic membership functions \(\mu_E\) and \(\mu_V\) are used for risk and return and a fuzzy programming model is formulated. It is stated that the optimal solution of this problem is an efficient portfolio in the Markowitz model. The author uses necessity and sufficiency levels to determine the shapes of the membership functions and presents a result on how to choose their parameters in order to have the same level of vagueness for both risk and return. The findings are illustrated by a numerical example.NEWLINENEWLINEFor the entire collection see [Zbl 0977.00013].
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