Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

Ruey-Chyn Tsaur

International Journal of Systems Science, 2015, vol. 46, issue 3, 438-450

Abstract: In the finance market, a short-term investment strategy is usually applied in portfolio selection in order to reduce investment risk; however, the economy is uncertain and the investment period is short. Further, an investor has incomplete information for selecting a portfolio with crisp proportions for each chosen security. In this paper we present a new method of constructing fuzzy portfolio model for the parameters of fuzzy-input return rates and fuzzy-output proportions, based on possibilistic mean–standard deviation models. Furthermore, we consider both excess or shortage of investment in different economic periods by using fuzzy constraint for the sum of the fuzzy proportions, and we also refer to risks of securities investment and vagueness of incomplete information during the period of depression economics for the portfolio selection. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model and a sensitivity analysis is realised based on the results.

Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/00207721.2013.784820

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