Portfolio optimisation: A fuzzy multi-objective approach

Francesc J Ortí () and José B Sáez
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Francesc J Ortí: Financiera y Actuarial, Universitat de Barcelona, Avda. Diagonal 696

Journal of Asset Management, 2008, vol. 9, issue 2, No 7, 138-148

Abstract: Abstract Markowitz's classical model and other models derived from it have raised the portfolio problem using statistical instruments that assume a regular and efficient market. In this paper, the authors propose an alternative method using fuzzy numbers to represent the uncertainty of the future return on assets. Subsequently, we define measures for risk and for excess return on a portfolio. The resulting problem is a nonlinear multi-objective program with fuzzy parameters. Finally, we introduce one method to solve the resulting problem and an example.

Keywords: fuzzy sets; investment analysis; risk analysis; portfolio selection; fuzzy multi-objective optimisation (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1057/jam.2008.16

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