Fuzzy portfolio optimization. Theory and methods
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.
scientific article; zbMATH DE number 5298828