A Fuzzy Approach to Portfolio Selection

被引：0
|
作者：
Mohamed, Zulkifli [2 ]
Mohamad, Daud [1 ]
Samat, Omar [2 ]
机构：
[1] Univ Teknol MARA Malaysia, Fac Comp & Math Sci, Dept Math, Shah Alam 40450, Selangor, Malaysia
[2] Univ Teknol MARA Malaysia, Fac Business Management, Dept Finance, Shah Alam 40450, Selangor, Malaysia
来源：
SAINS MALAYSIANA | 2009年 / 38卷 / 06期
关键词：
Fuzzy number; investor's judgment; linear programming; portfolio selection; semi-variance;
D O I：
暂无
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
Stock market investing is undoubtedly challenging. Investors have to deal with random, vague and ambiguity stock price volatility before embarking on investment decision. Due to these weaknesses, the conventional model has several limitations; as a result investors are demanding for a new robust model which is able to represent their real situation to solve the uncertainty issues. In this study we developed a new fuzzy portfolio selection model using semi-variance as a risk measure integrates with investor's judgment on assets' future performance. Linear programming approach was used to optimize the portfolio risk and return. Empirical data showed that the model were able to derive a resourceful portfolio compared to the naive portfolio selection.
引用
收藏
页码：895 / 899
页数：5
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