کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
391244 | 661363 | 2007 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fuzzy portfolio optimization under downside risk measures
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
هوش مصنوعی
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چکیده انگلیسی
This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained by a given expected return. 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. Finally, we formulate the portfolio selection problem as a linear program when the returns on the assets are of trapezoidal form.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Fuzzy Sets and Systems - Volume 158, Issue 7, 1 April 2007, Pages 769-782
Journal: Fuzzy Sets and Systems - Volume 158, Issue 7, 1 April 2007, Pages 769-782