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Comparative Studies | Mathematics | Indonesia | Volume 4 Issue 3, March 2015 | Rating: 6.4 / 10
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