Fuzzy portfolio optimization. Theory and methods
type: Item
instance of: scholarly article
title: Fuzzy portfolio optimization. Theory and methods
zbMATH Open document ID: 1154.91023
author: Yong Fang
author: Kin Keung Lai
author: Shouyang Wang
published in: Lecture Notes in Economics and Mathematical Systems
publication date: 2008-07-08T00:00:00Z
review text: This book contains the authors' recent research results in the field of fuzzy portfolio selections problems. There are also introduced some other important progress at the domain of fuzzy portfolio optimization. All presented considerations are given on the solid mathematical background. The main innovative results of this book include: portfolio selections model with fuzzy liquidity constraints, fuzzy portfolio selection models with S shape fuzzy numbers, estimation approach for interval returns, and the concept of semi absolute deviation interval risk functions, and the semi-definite programming approach for estimating possibility distribution of returns. Additionally, there are described the centre spread possibility distribution portfolio selection models for the case of frictional securities market, and the four fuzzy index tracking portfolio selection models based on the different measuring methods for tracking index error. Some presented models are applied for real data from securities market.
reviewed by: Krzysztof Piasecki
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C70
zbMATH DE Number: 5298828
zbMATH Keywords: fuzzy portfolio selections
zbMATH Keywords: shape fuzzy numbers
zbMATH Keywords: fuzzy liquity
zbMATH Keywords: possibility distribution
describes a project that uses: SeDuMi
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 5298828