Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach
Joint Authors
Guo, Haifeng
Sun, BaiQing
Ge, Yuanjing
Jin, Weiquan
Karimi, Hamid Reza
Source
Mathematical Problems in Engineering
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-11-14
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model.
Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval.
In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors’ objectives.
Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.
American Psychological Association (APA)
Guo, Haifeng& Sun, BaiQing& Karimi, Hamid Reza& Ge, Yuanjing& Jin, Weiquan. 2012. Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach. Mathematical Problems in Engineering،Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-1029656
Modern Language Association (MLA)
Guo, Haifeng…[et al.]. Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach. Mathematical Problems in Engineering No. 2012 (2012), pp.1-15.
https://search.emarefa.net/detail/BIM-1029656
American Medical Association (AMA)
Guo, Haifeng& Sun, BaiQing& Karimi, Hamid Reza& Ge, Yuanjing& Jin, Weiquan. Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach. Mathematical Problems in Engineering. 2012. Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-1029656
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1029656