Fuzzy Portfolio Selection Including Cardinality Constraints and Integer Conditions

Clara Calvo (), Carlos Ivorra () and Vicente Liern ()
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Clara Calvo: Universitat de València
Carlos Ivorra: Universitat de València
Vicente Liern: Universitat de València

Journal of Optimization Theory and Applications, 2016, vol. 170, issue 1, No 20, 343-355

Abstract: Abstract This paper is concerned with a fuzzy version of the portfolio selection problem, which includes diversification conditions and incorporates investor’s subjective preferences. The inclusion of diversification conditions leads to mixed-integer models, which are computationally demanding. On the other hand, the consideration of integer conditions makes the solution very sensitive to investor’s subjective preferences with regard to the trade-off between risk and expected return. These preferences are imprecise by their very nature. In this paper, we overcome these issues by proposing a solution method for a fuzzy quadratic portfolio selection model with integer conditions. The suitability of the proposed method is illustrated by means of two numerical examples.

Keywords: Fuzzy optimization; Portfolio selection; Efficient frontier; Nonlinear integer programming; 90C29; 90C70 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10957-016-0902-5

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