Fuzzy investment portfolio selection models based on interval analysis approach

DOI10.1155/2012/628295MaRDI QIDQ1955014zbMATH OpenOpenAlexWikidataFDO

Authors Haifeng Guo, Baiqing Sun, Hamid Reza Karimi, Yuanjing Ge, Weiquan Jin

Publication date 11 June 2013

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

Full work available at URL https://doi.org/10.1155/2012/628295

Mathematics Subject Classification ID

Interval and finite arithmetic (65G30) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Review text

Summary: We employ fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors' objectives. Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.

Recommendations

• A fuzzy approach to portfolio selection
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• scientific article; zbMATH DE number 2148571
• A new portfolio optimization method
• Establishment and application of portfolio selection model based on fuzzy return rate

Cites work

• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• Robust portfolio optimization with derivative insurance guarantees

Cited in

(14)

• Fuzzy interval methods in investment risk appraisal.
• Fuzzy views on Black-Litterman portfolio selection model
• Optimal portfolio strategy under rolling economic maximum drawdown constraints
• A nonlinear interval portfolio selection model and its application in banks
• A mean-variance portfolio selection model with interval-valued possibility measures
• Application of fuzzy theory to the investment decision process
• Application of fuzzy measures and interval computation to financial portfolio selection
• scientific article; zbMATH DE number 6000919 (Why is no real title available?)
• Syndicated venture capital portfolio companies selection: a fuzzy inference system – agent-based approach
• Review of fuzzy investment research considering modelling environment and element fusion
• A fuzzy approach to portfolio selection
• Establishment and application of portfolio selection model based on fuzzy return rate
• Using Fuzzy Set Theory to Analyse Investments and Select Portfolios of Tangible Investments in Uncertain Environments
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis

This page was built for publication: Fuzzy investment portfolio selection models based on interval analysis approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1955014)