A PORTFOLIO SELECTION MODEL BASED ON A FUZZY SET ANALYSIS

摘要：

Making a portfolio decision becomes very difficult because the market dynamics leading to unavailable and unreliable information. Generally, in a portfolio selection problem, the Decision Makers consider simultaneously conflicting objectives such as rate of return and risk. The objective of this paper is to develop a fuzzy portfolio selection model to hedge against the uncertainty in decision-making. First, this paper applies a fuzzy set theory to model uncertain and unreliable information, then converts the fuzzy portfolio selection model into a crisp mathematical model from the risk-averse perspective ，the transformed model can be solved by an optimization technique to determine an optimum portfolio and at last an example is used to illustrate the proposed approach.

关键词： fuzzy numbers portfolio selection pessimistic criterion.

作者: Niu Xiuming Zhuo Siqing

作者单位: Economics and Management School Wuhan University , Wuhan, China

会议类型: 国际会议

会议名称: 2007年技术创新、风险管理暨供应链管理国际研讨会

会议地点: 北京

会议语种:英文

在线出版日期: 2007-11-01（万方平台首次上网日期，不代表论文的发表时间）