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Portfolio Selection with Fuzzy Downside Risk Model: A Numerical Study
Journal: International Journal of Science and Research (IJSR) (Vol.4, No. 3)Publication Date: 2015-03-05
Authors : Muslena Layla; Meiria Jolina Tarigan; Yulia Utami; Wilma Handayani;
Page : 2476-2479
Keywords : Fuzzy Returns; Interval-valued Expectation; Downside Risk; Possibilistic Mean Variance;
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Abstract
In this paper, we carry out the numerical study of a fuzzy portfolio selection model where the objective is to minimize the downside risk and the rates of returns on securities are approximated by means of LR-fuzzr numbers of trapezoidal form.
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