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A Downside Risk Approach For The Portfolio Selection Problem With Fuzzy Returns

Listed author(s):
  • León, Teresa
  • Liern, Vicente
  • Marco, Paulina

    (Universitat de València)

  • Vicente Segura, José

    (Universidad Miguel Hernández)

  • Vercher, Enriqueta

    (Universitat de València)

Registered author(s):

    This 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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    Article 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)
    Pages: 61-77

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    Handle: RePEc:fzy:fuzeco:v:ix:y:2004:i:1:p:61-77
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