Optimization of Fuzzy Portfolio Considering Stock Returns and Downside Risk
Journal: International Journal of Science and Research (IJSR) (Vol.5, No. 4)Publication Date: 2016-04-05
Authors : Indah Simamora; Rahayu Sashanti;
Page : 141-145
Keywords : Portfolio; Stock return; Fuzzy expected return; Downside risk;
- Optimization of Fuzzy Portfolio Considering Stock Returns and Downside Risk
- Comparison between Fuzzy and Not Fuzzy Portfolio Optimization under Downside Risk Measures
- Portfolio Selection with Fuzzy Downside Risk Model: A Numerical Study
- Provide a multi-purpose fuzzy model for stock portfolio optimization
- Comparison of Portfolios Using Markowitz and Downside Risk Theories on the Czech Stock Market
Abstract
First we must present two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between those mean-interval definitions for a given fuzzy portfolio by using suitable ordering relations. And then we compare those with a given not fuzzy portfolio one. Finally, we can get the effect of not fuzzy portofolio under downside risk measures.
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