MULTI-OBJECTIVE PORTFOLIO SELECTION PROBLEMS IN A SOFT COMPUTING FRAMEWORK

 

José Vicente Segura, José D. Bermúdez, Enriqueta Vercher

 

Abstract

 

In this paper we present a multi-objective decision approach for the fuzzy portfolio selection problem, assuming that uncertainty is modeled by means of fuzzy logic. Specifically, we approach the uncertainty on the future returns of the investment using LR-fuzzy numbers and consider some f-weighted interval-valued possibilistic moments to approximate the return and risk of a given portfolio. A genetic procedure finds the efficient frontier of certain possibilistic mean-downside risk-skewness models. A numerical experiment is reported for assets from the Spanish stock market.

 

Lecture Notes in Management Science (2011) Vol. 3: 1-6

3rd International Conference on Applied Operational Research, Proceedings

© Tadbir Operational Research Group Ltd. All rights reserved.

www.tadbir.ca

 

ISSN 2008-0050 (Print)

ISSN 1927-0097 (Online)

 

ARTICLE OUTLINE

 

·         Introduction

·         The Fuzzy Portfolio Selection Problem

·         A Numerical Example

·         References

 

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