A Downside Risk Approach For The Portfolio Selection Problem With Fuzzy Returns
AbstractThis paper presents a new possibilistic programming approach to the portfolio selection problem. It is based on two issues: the approximation of the rates of return on securities by means of fuzzy numbers of trapezoidal form, for which we use the interval-valued ex-pectation defined by Dubois and Prade (1987), and the perception that down-side risk is a more realistic description of an investor’s preferences. We use a data set from the Spanish stock market to illustrate the performance of our method.
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Bibliographic InfoArticle provided by International Association for Fuzzy-set Management and Economy (SIGEF) in its journal FUZZY ECONOMIC REVIEW.
Volume (Year): IX (2004)
Issue (Month): 1 (May)
portfolio selection; fuzzy returns; downside risk function; fuzzy LR-numbers; interval-valued expectation; linear programming.;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
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