Portfolio selection based on distance between fuzzy variables

DOI10.1155/2014/403208MaRDI QIDQ1718279zbMATH OpenOpenAlexWikidataFDO

Authors Weiyi Qian, Mingqiang Yin

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/403208

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10) Financial applications of other theories (91G80)

Review text

Summary: This paper researches portfolio selection problem in fuzzy environment. We introduce a new simple method in which the distance between fuzzy variables is used to measure the divergence of fuzzy investment return from a prior one. Firstly, two new mathematical models are proposed by expressing divergence as distance, investment return as expected value, and risk as variance and semivariance, respectively. Secondly, the crisp forms of the new models are also provided for different types of fuzzy variables. Finally, several numerical examples are given to illustrate the effectiveness of the proposed approach.

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Cited in

(2)

• Two-stage fuzzy portfolio selection problem with transaction costs
• Portfolio selection based on semivariance and distance correlation under minimum variance framework

Describes a project that uses

Uses Software

• GSA

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