Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-07-10
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
As we know, borrowing and lending risk-free assets arise extensively in the theory and practice of finance.
However, little study has ever investigated them in fuzzy portfolio problem.
In this paper, the returns of each assets are assumed to be fuzzy variables, then following the mean-variance approach, a new possibilistic portfolio selection model with different interest rates for borrowing and lending is proposed, in which the possibilistic semiabsolute deviation of the return is used to measure investment risk.
The conventional probabilistic mean variance model can be transformed to a linear programming problem under possibility distributions.
Finally, a numerical example is given to illustrate the modeling idea and the impact of borrowing and lending on optimal decision making.
American Psychological Association (APA)
Chen, Wei& Yang, Yiping& Ma, Hui. 2011. Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates. Mathematical Problems in Engineering،Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-458522
Modern Language Association (MLA)
Chen, Wei…[et al.]. Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates. Mathematical Problems in Engineering No. 2011 (2011), pp.1-15.
https://search.emarefa.net/detail/BIM-458522
American Medical Association (AMA)
Chen, Wei& Yang, Yiping& Ma, Hui. Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates. Mathematical Problems in Engineering. 2011. Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-458522
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-458522