An approach to the problem of portfolio selection
T. Lorenzana, N. Márquez, S. Sardà. Universitat Rovira i Virgili
- Fuzzy Economic Review: Volume I, Number 1. May 1996
- DOI: 10.25102/fer.1996.01.07
Abstract
In this study we attempt to model a classical problem in the literature of finance, giving a different meaning to the notion of risk.
When selecting portfolios, as in all decision making processes, risk is a determining factor and it is included in classical models using statistical parameters. Our aim is to formulate a model which enables a portfolio to be created which is satisfactory for an individual who is prepared to assume a certain level of risk and which we shall approach using fuzzy set theory.