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Using A Fuzzy Sets Approach To Select A Portfolio Of Greek Government Bonds

Author

Listed:
  • Michalopoulos, Michael

    (Bank of Greece)

  • Thomaidis, Nikolaos S.
  • Dounias, George D.

    (University of Aegean)

  • Zopounidis, Constantin

    (Technical University of Crete)

Abstract

In this paper we investigate the application of a methodology based on fuzzy-sets theory to the selection of an optimal portfolio of Greek government bonds. Investors’ goals for the different bond market scenarios are formulated in fuzzy qualitative terms, while a model of fuzzy mathematical programming is used for the specification of the portfolio that optimally meets the given goals. The reliability of the results obtained with this methodology is checked with the aid of simulation.

Suggested Citation

  • Michalopoulos, Michael & Thomaidis, Nikolaos S. & Dounias, George D. & Zopounidis, Constantin, 2004. "Using A Fuzzy Sets Approach To Select A Portfolio Of Greek Government Bonds," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 27-48, November.
    • Handle: RePEc:fzy:fuzeco:v:ix:y:2004:i:2:p:27-48
    as

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    More about this item

    Keywords

    fuzzy sets; multi-criteria programming; government bonds; simulation;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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