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A Fuzzy Portfolio Selection Methodology Under Investing Constraints

  • Conference paper
Fuzzy Information and Engineering

Part of the book series: Advances in Soft Computing ((AINSC,volume 40))

Abstract

It is well-known that the financial market is affected by many non-probabilistic factors. In a fuzzy uncertain economic environment, the future states of returns and risks of risky assets cannot be predicted accurately. Based on this fact, possibilistic portfolio selection problem under investing constrains is discussed in this paper. The possibilistic mean value of the return is termed measure of investment return and the possibilistic variance of the return is termed measure of investment risk. We further present a quadratic programming model replaced Markowitz’s mean-variance model when returns of assets are trapezoidal fuzzy numbers, the conventional probabilistic mean-variance model is simplified and extended. A numerical example of a possibilistic fuzzy portfolio selection problem is given to illustrate our proposed effective means and approaches.

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Author information

Authors and Affiliations

  1. School of Economics and Management, Beijing Jiaotong University, Beijing, 100044, P.R. China

    Wei Chen, Runtong Zhang & Yong-Ming Cai

  2. School of Business Administration, South China University of Technology, Guangzhou, 510641, P.R. China

    Wei-Guo Zhang

Authors
  1. Wei Chen
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  2. Runtong Zhang
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  3. Wei-Guo Zhang
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  4. Yong-Ming Cai
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Bing-Yuan Cao

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© 2007 Springer-Verlag Berlin Heidelberg

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Chen, W., Zhang, R., Zhang, WG., Cai, YM. (2007). A Fuzzy Portfolio Selection Methodology Under Investing Constraints. In: Cao, BY. (eds) Fuzzy Information and Engineering. Advances in Soft Computing, vol 40. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71441-5_61

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  • DOI: https://doi.org/10.1007/978-3-540-71441-5_61

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-71440-8

  • Online ISBN: 978-3-540-71441-5

  • eBook Packages: EngineeringEngineering (R0)

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