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Fuzzy Portfolio Selection Including Cardinality Constraints and Integer Conditions

  • Clara Calvo
  • Carlos Ivorra
  • Vicente Liern
Article

Abstract

This paper is concerned with a fuzzy version of the portfolio selection problem, which includes diversification conditions and incorporates investor’s subjective preferences. The inclusion of diversification conditions leads to mixed-integer models, which are computationally demanding. On the other hand, the consideration of integer conditions makes the solution very sensitive to investor’s subjective preferences with regard to the trade-off between risk and expected return. These preferences are imprecise by their very nature. In this paper, we overcome these issues by proposing a solution method for a fuzzy quadratic portfolio selection model with integer conditions. The suitability of the proposed method is illustrated by means of two numerical examples.

Keywords

Fuzzy optimization Portfolio selection Efficient frontier Nonlinear integer programming 

Mathematics Subject Classification

90C29 90C70 

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.Universitat de València ValenciaSpain

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