Fuzzy investment portfolio selection models based on interval analysis approach
type: Item
instance of: scholarly article
title: Fuzzy investment portfolio selection models based on interval analysis approach
zbMATH Open document ID: 1264.91117
DOI: 10.1155/2012/628295
author: Haifeng Guo
author: Baiqing Sun
author: Hamid Reza Karimi
author: Yuanjing Ge
author: Weiquan Jin
published in: Mathematical Problems in Engineering
publication date: 2013-06-11T00:00:00Z
review text: Summary: We employ 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. Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C70
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 65G30
zbMATH DE Number: 6173439
Wikidata QID: Q58912342
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/628295
OpenAlex ID: W2119469845
cites work: Robust portfolio optimization with derivative insurance guarantees
cites work: An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
cites work: Fuzzy mean-variance-skewness portfolio selection models by interval analysis
description: scientific article; zbMATH DE number 6173439