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Comparison between Fuzzy and Not Fuzzy Portfolio Optimization under Downside Risk Measures

Journal: International Journal of Science and Research (IJSR) (Vol.4, No. 3)

Publication Date:

Authors : ; ; ; ; ;

Page : 2445-2448

Keywords : Portfolio; Expected return; Fuzzy expected return; Interval-valued expectation; Downside risk;

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This paper presents 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 formulate the portfolio selection problem as a linear program when the returns on the assets are of trapezoidal form.

Last modified: 2021-06-30 21:34:49