International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064

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Comparative Studies | Mathematics | Indonesia | Volume 4 Issue 3, March 2015

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

Wilma Handayani [4] | Sulaiman [27] | Suvriadi Panggabean | Liza Setyaning Pertiwi [11] | 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

Edition: Volume 4 Issue 3, March 2015,

Pages: 2445 - 2448

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