Comparison between Fuzzy and Not Fuzzy Portfolio Optimization under Downside Risk Measures

Wilma Handayani, Sulaiman, Suvriadi Panggabean, Liza Setyaning Pertiwi, Dr. Sutarman M. Sc

Abstract: This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between those mean-interval definitions for a given fuzzy portfolio by using suitable ordering relations. And then we compare those with a given not fuzzy portfolio one. Finally, we formulate the portfolio selection problem as a linear program when the returns on the assets are of trapezoidal form.

Keywords: Portfolio, Expected return, Fuzzy expected return, Interval-valued expectation, Downside risk

How to Cite?: Wilma Handayani, Sulaiman, Suvriadi Panggabean, Liza Setyaning Pertiwi, Dr. Sutarman M. Sc, "Comparison between Fuzzy and Not Fuzzy Portfolio Optimization under Downside Risk Measures", Volume 4 Issue 3, March 2015, International Journal of Science and Research (IJSR), Pages: 2445-2448, https://www.ijsr.net/getabstract.php?paperid=SUB152756, DOI: https://dx.doi.org/10.21275/SUB152756